CREDIT SUISSE AG

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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 28, 2024

UBS Group AG
(Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland (Address of principal executive office)

Commission File Number: 1-36764

UBS AG (Registrant's Name)
Bahnhofstrasse 45, 8001 Zurich, Switzerland

Aeschenvorstadt 1, 4051 Basel, Switzerland (Address of principal executive offices)

Commission File Number: 1-15060

Credit Suisse AG
(Registrant's Name)
Paradeplatz 8, 8001 Zurich, Switzerland (Address of principal executive office)

Commission File Number: 1-33434

Indicate by check mark whether the registrants file or will file annual reports under cover of Form 20-F or Form 40-F.

☒☐ Form 20-FForm 40-F

This Form 6-K consists of the 31 December 2023 Pillar 3 Report of UBS Group and significant regulated subsidiaries and sub-groups, which appears immediately following this page.

Pillar 3 Report

31 December 2023

UBS Group and significant regulated subsidiaries and sub-groups

Terms used in this report, unless the context requires otherwise

“UBS,” “UBS Group,” “UBS Group AG consolidated,” “Group,” “the Group,” “we,” “us” and “our”UBS Group AG and its consolidated subsidiaries “UBS Group excluding the Credit Suisse AG sub-group”All UBS Group entities, excluding the Credit Suisse AG sub-group “UBS AG” and “UBS AG consolidated”UBS AG and its consolidated subsidiaries “Credit Suisse AG” and “Credit Suisse AG consolidated”Credit Suisse AG and its consolidated subsidiaries “Credit Suisse Group“ and “Credit Suisse Group AG consolidated”Pre-acquisition Credit Suisse Group ”Credit Suisse”Credit Suisse AG and its consolidated subsidiaries, Credit Suisse Services AG and other small former Credit Suisse Group entities now directly held by UBS Group AG “UBS Group AG” and “UBS Group AG standalone”UBS Group AG on a standalone basis “Credit Suisse Group AG” and “Credit Suisse Group AG standalone”Credit Suisse Group AG on a standalone basis “UBS AG standalone”UBS AG on a standalone basis “Credit Suisse AG standalone”Credit Suisse AG on a standalone basis “UBS Switzerland AG” and “UBS Switzerland AG standalone”UBS Switzerland AG on a standalone basis “UBS Europe SE consolidated”UBS Europe SE and its consolidated subsidiaries “UBS Americas Holding LLC” and “UBS Americas Holding LLC consolidated”UBS Americas Holding LLC and its consolidated subsidiaries “1m”One million, i.e., 1,000,000 “1bn”One billion, i.e., 1,000,000,000 “1trn”One trillion, i.e., 1,000,000,000,000

In this report, unless the context requires otherwise, references to any gender shall apply to all genders.

Table of contentsContacts

SwitchboardsOffice of the Group Company
For all general inquiries.Secretary
ubs.com/contactThe Group Company Secretary
UBS GroupZurich +41-44-234 1111handles inquiries directed to theChairman or to other members
2Section 1Introduction and basis for preparationLondon +44-207-567 8000of the Board of Directors.
New York +1-212-821 3000
13Section 2Key metricsHong Kong SAR +852-2971 8888UBS Group AG, Office of the
15Section 3Overview of risk-weighted assetsSingapore +65-6495 8000Group Company Secretary
16Section 4Linkage between financial statements andInvestor RelationsP.O. Box, CH-8098 Zurich,Switzerland
regulatory exposuresUBS’s Investor Relations team
19Section 5Credit riskmanages relationships [email protected]
institutional investors, research
54Section 6Counterparty credit riskanalysts and credit rating agencies.Zurich +41-44-235 6652
62Section 7Comparison of A-IRB approach andubs.com/investorsShareholder Services
standardized approach for credit riskUBS’s Shareholder Services team,
66Section 8SecuritizationsZurich +41-44-234 4100a unit of the Group Company New York +1-212-882 5734Secretary’s office, manages
74Section 9Market riskrelationships with shareholders and
8282Section 10Section 11Operational riskInterest rate risk in the banking bookMedia RelationsUBS’s Media Relations teamthe registration of UBS Group AGregistered shares.
85Section 12Going and gone concern requirementsmanages relationships with globalUBS Group AG, Shareholder Services
media and journalists.P.O. Box, CH-8098 Zurich, and eligible capital
Switzerland
92Section 13Total loss-absorbing capacityubs.com/media
[email protected]
93Section 14Leverage ratioZurich +41-44-234 8500
96Section 15Liquidity and [email protected] +41-44-235 6652

100Section 16RemunerationLondon +44-20-7567 4714US Transfer Agent
100Section 17Requirements for global [email protected] global registered share-related inquiries in the US.
important banks and related indicatorsNew York +1-212-882 5858
[email protected] Trust Company NA
PO Box 43006 Hong Kong SAR +852-2971 8200Providence, RI, 02940-3006, USA
[email protected]
Significant regulated subsidiaries and sub-groupsShareholder online inquiries:
www.computershare.com/us/
101Section 1Introductioninvestor-inquiries
102Section 2UBS AG consolidated Shareholder website:
106Section 3UBS AG standalonecomputershare.com/investor
110Section 4UBS Switzerland AG standaloneCalls from the US
116Section 5UBS Europe SE consolidated+1-866-305-9566
117Section 6UBS Americas Holding LLC consolidatedCalls from outside the US
+1-781-575-2623 119Section 7Credit Suisse AG consolidatedTDD for hearing impaired
123Section 8Credit Suisse AG standalone+1-800-231-5469
127Section 9Credit Suisse (Schweiz) AG consolidatedTDD for foreign shareholders +1-201-680-6610
131Section 10Credit Suisse (Schweiz) AG standalone

135Section 11Credit Suisse International standalone

137Section 12Credit Suisse Holdings (USA),

Inc. consolidated

Appendix

140Abbreviations frequently used in our financial reports

142Cautionary statement

Imprint

Publisher: UBS Group AG, Zurich, Switzerland | ubs.com Language: English

UBS Group

Introduction and basis for preparation

Scope of Basel III Pillar 3 disclosures

The Basel Committee on Banking Supervision (the BCBS) Basel III capital adequacy framework consists of three complementary pillars. Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks. Pillar 2 addresses the principles of the supervisory review process, emphasizing the need for a qualitative approach to supervising banks. Pillar 3 requires banks to publish a range of disclosures, mainly covering risk, capital, leverage, liquidity and remuneration.

This report provides Pillar 3 disclosures for the UBS Group, including the acquired Credit Suisse Group, and prudential key figures and regulatory information for UBS AG consolidated and standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated, and UBS Americas Holding LLC consolidated, as well as Credit Suisse AG consolidated and standalone, Credit Suisse (Schweiz) AG consolidated and standalone, Credit Suisse International standalone, and Credit Suisse Holdings (USA), Inc. consolidated in the respective sections under “Significant regulated subsidiaries and subgroups.”

This Pillar 3 Report has been prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) Pillar 3 disclosure requirements (FINMA Circular 2016/1 “Disclosure – banks”) as revised on 8 December 2021, the underlying BCBS guidance “Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked questions on the revised Pillar 3 disclosure requirements” issued in August 2016, the “Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March 2017 and the subsequent “Technical Amendment – Pillar 3 disclosure requirements – regulatory treatment of accounting provisions” issued in August 2018.

As UBS is considered a systemically relevant bank (an SRB) under Swiss banking law, UBS Group AG, UBS AG, Credit Suisse AG and Credit Suisse (Schweiz) AG are required to comply with regulations based on the Basel III framework as applicable to Swiss SRBs on a consolidated basis.

Local regulators may also require the publication of Pillar 3 information at a subsidiary or sub-group level. Where applicable, these local disclosures are provided under “Holding company and significant regulated subsidiaries and subgroups” atubs.com/investors.

Acquisition of the Credit Suisse Group

Impact of our acquisition of the Credit Suisse Group on Basel III Pillar 3 disclosures On 12 June 2023, UBS Group AG acquired Credit Suisse Group AG, succeeding by operation of Swiss law to all assets and liabilities of Credit Suisse Group AG, and became the direct or indirect shareholder of all of the former direct and indirect subsidiaries of Credit Suisse Group AG. In the second quarter 2023 Pillar 3 report we included the impacts of the acquisition of the Credit Suisse Group in the scope of UBS Group AG consolidated, and we included significant regulated subsidiaries and sub-groups related to Credit Suisse. In this fourth quarter 2023 Pillar 3 report, the comparative periods ended 30 September 2023 and 30 June 2023 therefore include the impact of the acquisition of the Credit Suisse Group, while comparative periods prior to those ended 30 June 2023 reflect information prior to the acquisition of the Credit Suisse Group, unless explicitly stated otherwise.

From the 30 June 2023 Pillar 3 report onward we have included the following disclosures as a result of the acquisition.
–CR10 – Specialized lending –SEC1 – Securitization exposures in the banking book –SEC2 – Securitization exposures in the trading book –SEC3 – Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as

originator or as sponsor –SEC4 – Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor –MR1 – Market risk under standardized approach –Significant regulated subsidiaries and sub-groups related to Credit Suisse ›Refer to the “Acquisition and 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 2023, available under “Annual

reporting” atubs.com/investors, for more information

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 2

Legal structure integration In December 2023, the Board of Directors of UBS Group AG approved the merger of UBS AG and Credit Suisse AG, and both entities entered into a definitive merger agreement. The completion of the merger is subject to regulatory approvals and is expected to occur by the end of the second quarter of 2024. We also expect to complete the transition to a single US intermediate holding company in the second quarter of 2024 and the planned merger of UBS Switzerland AG and Credit Suisse (Schweiz) AG in the third quarter of 2024.

Completing the mergers of our significant legal entities is a critical step in enabling us to unlock the next phase of the cost, capital and funding synergies that we expect to realize in 2025 and 2026.These significant-legal-entity mergers are a pre-requisite for the first wave of client migrations and will enable us to begin streamlining and decommissioning legacy Credit Suisse platforms in the second half of 2024.

IFRS 3 measurement period adjustments in the third and fourth quarters of 2023 for the acquisition of the Credit Suisse Group UBS has reclassified certain loans and off-balance sheet loan commitments held by the newly established Non-core and Legacy business division to Measured at fair value through profit or loss in the third and fourth quarters of 2023. 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 2023, available under “Annual reporting” atubs.com/investors, for details on the

accounting treatment, and respective adjustments to prior reporting periods. Comparative periods for CET1 capital information and for Pillar 3 disclosures where we disclose IFRS Accounting Standards carrying values have been restated accordingly. We have applied the amended classification and measurement for leverage ratio denominator and riskweighted assets (RWA) calculation purposes prospectively from the third quarter and fourth quarter of 2023, i.e., from when they occurred.

Significant regulatory developments, disclosure requirements and other changes

Swiss Federal Council adopts amendments to the Capital Adequacy Ordinance In November 2023, the Swiss Federal Council adopted amendments to the Capital Adequacy Ordinance (the CAO) for banks to incorporate the final Basel III standards adopted by the BCBS in Swiss law. The amended CAO will enter into force on 1 January 2025. The final degree of alignment between the Swiss implementation and those in other jurisdictions remains uncertain at this stage. Although EU legislators target implementation by January 2025, the implementation timelines in the UK and the US have been delayed until July 2025. The Swiss Federal Department of Finance will inform the Swiss Federal Council about the status of international implementation by the end of July 2024. We currently estimate that the revised Basel III framework, including the Fundamental Review of the Trading Book, will lead to a further net increase in RWA of approximately USD 25bn, of which USD 10bn is in Non-core and Legacy. This estimate is based on static balances and on our current understanding of the relevant standards before taking into account mitigating actions and not reflecting the impact of the output floor, which is phased in over time. It may change as a result of new or updated regulatory interpretations, appropriate conservatism in model calibration, the implementation of Basel III standards into national law, changes in business growth, market conditions, and other factors. The core business-led reductions in RWA, coupled with the run-down of positions in Non-core and Legacy during 2024 and 2025, are expected to more than offset the effects of revised Basel III standards.

Financial Stability Board updates list of global systemically important banks In November 2023, the Financial Stability Board (the FSB) published the 2023 list of global systemically important banks (G-SIBs). UBS has been moved from Bucket 1 to Bucket 2, corresponding to an increased FSB common equity tier 1 capital surcharge requirement of 1.5% from 1.0%, effective from 1 January 2025. Credit Suisse has been removed from the list. As UBS is subject to higher requirements under the Swiss CAO, the change does not affect the capital requirements applicable to UBS.

Introduction of a public liquidity backstop in Switzerland In September 2023, the Swiss Federal Council adopted a dispatch and draft legislation on the introduction of a public liquidity backstop for systemically important banks (SIBs), which was initially implemented as part of the emergency ordinance of March 2023 (the Emergency Ordinance). The proposed legislative changes aim to establish the public liquidity backstop as part of ordinary law in order to enable the Swiss government and the Swiss National Bank (the SNB)
to support an SIB domiciled in Switzerland with liquidity in the process of resolution, in line with other financial centers.
The introduction of the public liquidity backstop is intended to increase the confidence of market participants in the ability of SIBs to be successfully recapitalized and remain solvent in a crisis. Furthermore, the draft legislation provides that SIBs will pay the Swiss Confederation an annual fee to mitigate a potential impact on competition and to compensate the Swiss Confederation for its guarantee to the SNB of the public liquidity backstop, if required.

In addition to the public liquidity backstop, the proposed legislative changes would enact into ordinary law additional provisions contained in the Emergency Ordinance, including mandated clawback of variable compensation in the event that government support is provided to an SIB.

The legislative changes are expected to come into force by January 2025, at the earliest, as in November 2023, the Swiss Parliament suspended discussions on the public liquidity backstop until the presentation of the Swiss Federal Council’s report on SIBs.

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 3

Findings of the group of experts on banking stability In September 2023, a group of experts on banking stability, mandated by the Swiss Federal Department of Finance, published a report considering the role of banks and the legal and regulatory framework related to the stability of the Swiss financial center. The report concluded that Swiss capital regulation s are working as intended and that there is no need for a major revision. However, the report sees a need for reforms with regard to banking supervision and proposes that the relevant authorities be granted broader powers. Furthermore, the report suggests improvements regarding liquidity regulations, including a proposal to extend the supply of liquidity in the case of a crisis. The report also suggests that Swiss authorities should make improvements with regard to crisis preparation and management.

Revisions to the Swiss Liquidity Ordinance In the third quarter of 2023, FINMA communicated the liquidity requirements arising from the revisions to the Swiss Liquidity Ordinance, with the aim of strengthening the resilience of SIBs in Switzerland. The affected legal entities of the UBS Group are compliant with these requirements, which became effective on 1 January 2024.

Financial Stability Board Peer Review of Switzerland In February 2014, the FSB published its Peer Review of Switzerland, which examines Switzerland’s implementation of the FSB’s too-big-to-fail (TBTF) reforms for G-SIBs. The review states that although Swiss authorities have made important steps toward implementing an effective TBTF regime for G-SIBs, additional steps can be taken to further strengthen the Swiss TBTF framework. Recommendations include increasing supervisory resources, strengthening early intervention powers and enhancing the recovery and reso lution regime.

Significant BCBS consultation papers

Recalibration of shocks for interest rate risk in the banking book In December 2023, the BCBS issued a public consultation on proposed adjustments to its standard on interest rate risk in the banking book (IRRBB). The Committee proposes to make a set of adjustments to the specified interest rate shocks in the IRRBB standard, consistent with commitments in the standard to periodically update their calibration. It also proposes to make targeted adjustments to the current methodology used to calculate the shocks. These changes are needed to address problems with how the current methodology captures interest rate changes during periods when rates are close to zero.

Disclosure of climate-related financial risks In November 2023, the BCBS issued a public consultation paper on a Pillar 3 disclosure framework for climate-related financial risks. This work forms part of the BCBS’s holistic approach to address climate-related financial risks to the global banking system. The BCBS is analyzing how a Pillar 3 disclosure framework for climate-related financial risks would further its mandate to strengthen the regulation, supervision and practices of banks worldwide , with the purpose of enhancing financial stability, and the potential design of such a framework.

Other developments

Capital returns In 2023, we bought back USD 1.3bn of shares before we announced the acquisition of the Credit Suisse Group. In 2024, we plan to repurchase up to USD 1bn of our shares commencing after the completion of the merger of UBS AG and Credit Suisse AG. Our ambition is for share repurchases to exceed our pre-acquisition levels by 2026.

For 2023, the Board of Directors plans to propose a dividend to UBS Group AG shareholders of USD 0.70 per share.
Subject to approval at the Annual General Meeting, scheduled for 24 April 2024, the dividend will be paid on 3 May 2024 to shareholders of record on 2 May 2024. The ex-dividend date will be 30 April 2024.

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 2023 for disclosures required on a quarterly basis and as of 30 June 2023 for disclosures required on a semi-annual basis. Both these comparative periods include Credit Suisse information as a result of the aforementioned acquisition date on 12 June 2023. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates. Comparative periods prior to 30 June 2023 do not include information related to Credit Suisse, unless explicitly stated.

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 –ppp– indicates the end of the signpost.
›Refer to our 31 March 2023, 30 June 2023 and 30 September 2023 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 2023 Pillar 3 Report, available under “Pillar 3 disclosures” atubs.com/investors, for more information about

previously published semi-annual movement commentary

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 4

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 2023.

FINMAPage number reference1Disclosure title in this reportSection of this reportin this report Annual disclosure requirements

OVABank risk management approachIntroduction and basis for preparation9–10

LI1Differences between accounting and regulatory scopes of consolidation andSection 4 Linkage between financial statements and17–18 mapping of financial statements with regulatory risk categoriesregulatory exposures

LI2Main sources of differences between regulatory exposure amounts andSection 4 Linkage between financial statements and19 carrying values in financial statements (under the regulatory scope ofregulatory exposures consolidation)
LIAExplanations of differences between accounting and regulatory exposureSection 4 Linkage between financial statements and16–17 amountsregulatory exposures

PV1Prudent valuation adjustments (PVA)Section 12 Going and gone concern requirements and91 eligible capital

GSIB1Disclosure of G-SIB indicatorsSection 17 Requirements for global systemically important100 banks and related indicators

LIQALiquidity risk managementSection 15 Liquidity and funding98

CRACredit risk managementSection 5 Credit risk20| CRB | Additional disclosure related to the credit quality of assets: | Section 5 Credit risk | |
| --- | --- | --- | --- |
| | –Breakdown of exposures by industry | | 22 |
| | –Breakdown of exposures by geographical area | | 22 |
| | –Breakdown of exposures by residual maturity | | 23 |
| | –Policies for past due, non-performing and credit-impaired claims | | 23 |
| | –Credit-impaired exposures by industry | | 23 |
| | –Credit-impaired exposures by geographical area | | 24 |
| | –Past due exposures | | 24 |
| | –Breakdown of restructured exposures between credit-impaired and non- | | 24 |
| | credit-impaired | | |
| CRC | Credit risk mitigation | Section 5 Credit risk | 25 |

CRDQualitative disclosures on banks’ use of external credit ratings under theSection 5 Credit risk26 standardized approach for credit risk

CREQualitative disclosure related to IRB modelsSection 5 Credit risk29

CR9IRB – backtesting of probability of default (PD) per portfolioSection 5 Credit risk41–51

CCRACounterparty credit risk managementSection 6 Counterparty credit risk54

SECA–IntroductionSection 8 Securitization66 –Objectives, roles and involvement66–67 MRAMarket riskSection 9 Market risk74

MRBInternal models approachSection 9 Market risk77

IRRBBAInterest rate risk in the banking bookSection 11 Interest rate risk in the banking book82

IRRBB1Quantitative information about IRRBBSection 11 Interest rate risk in the banking book83

IRRBBA1Quantitative disclosures relating to the position structure and interest rateSection 11 Interest rate risk in the banking book83–84 reset of IRRBB risk REMARemuneration policySection 16 Remuneration100 REM1 REM2 REM3 ORAOperational riskSection 10 Operational risk82

–VaR- and SVaR-based RWASection 9 Market risk78

–RniV-based RWASection 9 Market risk80

–IRC-based RWASection 9 Market risk81

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 5

FINMAPage number reference1Disclosure title in this reportSection of this reportin this report Semi-annual disclosure requirements CR1Credit quality of assetsSection 5 Credit risk21 CR2Changes in stock of defaulted loans, debt securities and off-balance sheetSection 5 Credit risk21 exposures CR3Credit risk mitigation techniques – overviewSection 5 Credit risk25–26 CR4Standardized approach – credit risk exposure and credit risk mitigation (CRM)Section 5 Credit risk27 effects

CR5Standardized approach – exposures by asset classes and risk weightsSection 5 Credit risk28 CR6IRB – credit risk exposures by portfolio and PD rangeSection 5 Credit risk29–38 CR7Qualitative statement about the impact of credit derivatives used as CRMSection 5 Credit risk39 techniques on IRB credit risk RWA CR10Specialized lendingSection 5 Credit risk52 IRB (equities under the simple risk-weight method)53 CCR1Analysis of counterparty credit risk (CCR) exposure by approachSection 6 Counterparty credit risk55 CCR2Credit valuation adjustment (CVA) capital chargeSection 6 Counterparty credit risk55 CCR3Qualitative statement about the materiality of counterparty credit riskSection 6 Counterparty credit risk55 exposures subject to standardized risk weights CCR4IRB – CCR exposures by portfolio and PD scaleSection 6 Counterparty credit risk56–58 CCR5Composition of collateral for CCR exposureSection 6 Counterparty credit risk59 CCR6Credit derivatives exposuresSection 6 Counterparty credit risk60 CCR8Exposures to central counterpartiesSection 6 Counterparty credit risk61 SEC1Securitization exposures in the banking bookSection 8 Securitizations68 SEC2Securitization exposures in the trading book69 SEC3Securitization exposures in the banking book and associated regulatory70–71 SEC4capital requirements – bank acting as originator or as sponsor72–73 Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor

MR1Market risk under standardized approach (UBS Group AG Consolidated)Section 9 Market risk74

MR3IMA values for trading portfoliosSection 9 Market risk77 MR4Comparison of VaR estimates with gains / lossesSection 9 Market risk78–79 CC1Composition of regulatory capitalSection 12 Going and gone concern requirements and89–90 eligible capital CC2Reconciliation of accounting balance sheet to balance sheet under theSection 12 Going and gone concern requirements and87–88 regulatory scope of consolidationeligible capital

CCAMain features of regulatory capital instruments and other total loss-absorbingn/a – The CCA table is published on our website. Refer ton/a capacity (TLAC)-eligible instrumentsthe document titled “Capital and total loss-absorbing capacity instruments of UBS Group AG (consolidated), UBS AG and Credit Suisse AG (both consolidated and standalone) – key features” under “Bondholder information” atubs.com/investors, for more information.

CCyB1Geographical distribution of credit exposures used in the countercyclicalSection 12 Going and gone concern requirements and86 capital buffereligible capital| 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 | 118 |
| | | Section 11 Credit Suisse International standalone | 136 |
| | | Section 12 Credit Suisse Holdings (USA), Inc. consolidated | 139 |

TLAC3Creditor ranking at legal entity level for the resolution entity,Section 13 Total loss-absorbing capacity93 UBS Group AG

LIQ2Net Stable Funding Ratio (NSFR)Section 15 Liquidity and funding99

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 6

FINMAPage number reference1Disclosure title in this reportSection of this reportin this report

Quarterly disclosure requirements

KM1Key metricsUBS Group:
Section 2 Key metrics14

Significant regulated subsidiaries and sub-groups:
Section 2 UBS AG consolidated103 Section 3 UBS AG standalone107 Section 4 UBS Switzerland AG standalone110 Section 5 UBS Europe SE consolidated116 Section 6 UBS Americas Holding LLC consolidated117 Section 7 Credit Suisse AG consolidated120 Section 8 Credit Suisse AG standalone124 Section 9 Credit Suisse (Schweiz) AG consolidated128 Section 10 Credit Suisse (Schweiz) AG standalone132 Section 11 Credit Suisse International standalone135 Section 12 Credit Suisse Holdings (USA), Inc. consolidated138

KM2Key metrics – TLAC requirements (at resolution group level)Section 2 Key metrics14

OV1Overview of RWASection 3 Overview of risk-weighted assets15–16

CR8RWA flow statements of credit risk exposures under IRBSection 5 Credit risk39–40

CCR7RWA flow statements of CCR exposures under IMM and VaRSection 6 Counterparty credit risk60

MR2RWA flow statements of market risk exposures under an internal modelsSection 9 Market risk75–76 approach

LR1BCBS Basel III leverage ratio summary comparisonSection 14 Leverage ratio95

LR2BCBS Basel III leverage ratio common disclosureSection 14 Leverage ratio95

LIQ1Liquidity coverage ratioSection 15 Liquidity and funding97

–High-quality liquid assetsSection 15 Liquidity and funding96

–Swiss SRB going and gone concern requirements and informationUBS Group:
Section 12 Going and gone concern requirements and85 eligible capital

Significant regulated subsidiaries and sub-groups:
Section 2 UBS AG consolidated104–105 Section 3 UBS AG standalone108–109 Section 4 UBS Switzerland AG standalone111–112 Section 7 Credit Suisse AG consolidated121–122 Section 8 Credit Suisse AG standalone125–126 Section 9 Credit Suisse (Schweiz) AG consolidated129–130 Section 10 Credit Suisse (Schweiz) AG standalone133–134

–Reconciliation of total assets under IFRS Accounting Standards to BCBSSection 14 Leverage ratio94 Basel III total on-balance sheet exposures excluding derivatives and securities financing transactions 1Disclosure requirement per FINMA Circular 2016/1 “Disclosure – banks”.

31 December 2023 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 European Union is also treated as a central government.
–Banks and securities dealers, consisting of exposures to legal entities holding banking licenses and securities firms subject to adequate supervisory and regulatory arrangements, including risk-based capital requirements. Securities firms can only be assigned to this asset class if they are subject to a supervision equivalent to that of banks.
–Public-sector entities and multi-lateral development banks, consisting of exposures to institutions established on the basis of public law in different forms, such as administrative entities or public companies and regional governments, the Bank for International Settlements, the International Monetary Fund, and eligible multi-lateral development banks recognized by FINMA.
–Corporates: specialized lending, consisting of exposures relating to income-producing real estate and high-volatility commercial real estate, commodities finance, project finance, and object finance.
–Corporates: other lending, consisting of all exposures to corporates that are not specialized lending. This asset class includes private commercial entities, such as corporations, partnerships or proprietorships, insurance companies and funds (including managed funds).
–Retail: residential mortgages, consisting of residential mortgages, regardless of exposure size, if the owner occupies or rents out the mortgaged property.
–Retail: qualifying revolving retail exposures, consisting of unsecured and revolving credits to individuals that exhibit appropriate loss characteristics relating to credit card relationships at UBS.
–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 Board of Directors (the BoD) and senior management are responsible for establishing and maintaining an effective internal control structure over the disclosure of financial information, including Pillar 3 disclosures. In line with BCBS and FINMA requirements, we have a BoD-approved Pillar 3 disclosure governance policy in place, which includes information about the key internal controls and procedures designed to govern the preparation, review and sign-off of Pillar 3 disclosures. UBS’s Pillar 3 framework has been amended to take account of the Group structure post 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 2023, available under “Annual reporting” atubs.com/investors.

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 8

Annual |

OVA: Bank risk management approach

UBS Group Annual Report 2023 Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurepage number

Business model and risk profileOur strategy, business model and–Market environment, Industry trends32–35 environment–Risk factors61–73 Risk, capital, liquidity and funding, and–Overview of risks arising from our business98 balance sheetactivities –Risk categories99–100 –Top and emerging risks100–101 –Risk management and control principles104 –Risk appetite framework103–106 –Risk measurement107–109 –Credit risk–Main sources of credit risk,110–111

Overview of measurement, monitoring and management techniques, Credit risk profile of the Group –Market risk–Main sources of market risk,126 Overview of measurement, monitoring and management techniques –Interest rate risk in the banking book131–133 –Other market risk exposures133–134 –Country risk framework, Country risk exposure135–137 –Non-financial risk framework154–155 Risk governanceRisk, capital, liquidity and funding, and–Risk categories99–100 balance sheet–Risk governance101–103 –Interest rate risk in the banking book–Risk131 management and governance –Capital management–Capital management159 objectives, Capital planning and activities –Liquidity and funding management–Strategy,170 objectives and governance

Communication and enforcementRisk, capital, liquidity and funding, and–Risk governance101–103
of risk culture within the bankbalance sheet–Risk appetite framework103–106
–Internal risk reporting106
–Non-financial risk framework154–155

Scope and main features of riskRisk, capital, liquidity and funding, and–Risk measurement107–109 measurement systemsbalance sheet–Credit risk–Overview of measurement,111 monitoring and management techniques –Market risk–Overview of measurement,126 monitoring and management techniques –Country risk exposure measure135 –Advanced measurement approach model157 Risk information reportingRisk, capital, liquidity and funding, and–Risk governance101–103 balance sheet–Risk management and control principles104 –Internal risk reporting106

Stress testingRisk, capital, liquidity and funding, and–Risk appetite framework103–106 balance sheet–Stress testing107–108 –Credit risk models–Stress loss122 –Market risk stress loss126–127 –Interest rate risk in the banking book131–133 –Other market risk exposures133–134 –Liquidity and funding management–Liquidity170–171 and funding stress testing

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 9

OVA: Bank risk management approach (continued)

UBS Group Annual Report Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosure2023 page number

Strategies and processes applied toRisk, capital, liquidity and funding, and–Credit risk–Overview of measurement,111 manage, hedge and mitigate risksbalance sheetmonitoring and management techniques –Credit risk mitigation118–119 –Market risk–Overview of measurement,126 monitoring and management techniques –Value-at-risk127–131 –Interest rate risk in the banking book131–133 –Other market risk exposures133–134 –Country risk exposure135–137 –Non-financial risk framework154–155 –Liquidity and funding management170–173 –Currency management180 –Risk management and control principles104

Consolidated financial statements–Note 11 Derivative instruments334–336 –Note 21h Maximum exposure to credit risk for378 financial instruments measured at fair value –Note 22 Offsetting financial assets and380–381 financial liabilities

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 Swiss Capital Adequacy Ordinance issued by the Swiss Federal Council and by the associated circulars issued by FINMA.

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

CategoryDefinition of riskRegulatory risk exposureRisk-weighted assets

I. Credit risk

Credit riskCredit risk is the risk of a loss resulting fromExposure at default (EAD) is the amount weWe apply two approaches to measure credit risk the failure of a counterparty to meet itsexpect a counterparty to owe us at the time ofRWA.
contractual obligations toward UBS arisinga possible default. For banking products, the–Advanced internal ratings-based (A-IRB)
from transactions such as loans, debtEAD generally equals the IFRS Accountingapproach, applied for the majority of our securities held in our banking book andStandards carrying amount as of the reportingbusinesses. Counterparty risk weights are undrawn credit facilities.date. The EAD is expected to remain constantdetermined by reference to internal probability of over the 12-month period. For loandefault and LGD estimates.
Refer to section 5, Credit risk.commitments, a credit conversion factor is–Standardized approach (SA), generally based on applied to model expected future drawdownsexternal ratings for a sub-set of our credit portfolio over the 12-month period.where internal measures are not available.

Non-counterparty-Non-counterparty-related risk (NCPA) denotesThe IFRS Accounting Standards carryingWe measure NCPA RWA by applying prescribed related riskthe risk of a loss arising from changes in valueamount is the basis for measuring NCPAregulatory risk weights to the NCPA exposure.
or from liquidation of assets not linked to anyexposure.
counterparty, e.g., premises, equipment and software, and deferred tax assets on temporary differences.

Refer to section 3, Overview of risk-weighted assets.
Equity positions inRisk from equity positions in the banking bookThe IFRS Accounting Standards carryingWe measure the RWA from equity positions in the the banking bookrefers to the investment risk arising fromamount is the basis for measuring riskbanking book by applying prescribed regulatory risk equity positions and other relevantexposure for equity securities held in ourweights to our listed and unlisted equity exposures.
investments or instruments held in ourbanking book but reflecting a net position.
banking book.

Refer to section 5, Credit risk.

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 10

CategoryDefinition of riskRegulatory risk exposureRisk-weighted assets

II. Counterparty credit risk

Counterparty creditCCR is the risk that a counterparty for over-We primarily use internal models to measureWe apply two approaches to measure CCR RWA.
risk (CCR)the-counter (OTC) derivatives, exchange-CCR exposures to third parties. All internal–Advanced internal ratings-based (A-IRB)
traded derivatives (ETDs) or securitiesmodels are approved by FINMA.approach, applied for the majority of our financing transactions (SFTs) will default–For OTC derivatives and ETDs,we apply thebusinesses. Counterparty risk weights are before the final settlement of a transactioneffective expected positive exposure (EEPE)determined by reference to internal counterparty and cause a loss to the firm if the transactionand stressed expected positive exposureratings and LGD estimates.
has a positive economic value at the time of(SEPE) as defined in the BaselIII framework.–Standardized approach (SA),generally based on default.–For SFTs, we apply the close-out periodexternal ratings for a sub-set of our credit approach.portfolio, where internal measures are not Refer to section 6, Counterparty credit risk.available.
In certain instances where risk models are not available:We apply an additional credit valuation adjustment –Exposure on OTC derivatives and ETDsis(CVA) capital charge to hold capital against the risk calculated considering the net positiveof mark-to-market losses associated with the replacement values and potential futuredeterioration of counterparty credit quality.
exposure.
–Exposure for SFTsis based on the IFRS Accounting Standards carrying amount, net of collateral mitigation.

Settlement riskSettlement risk is the risk of loss resulting fromThe IFRS Accounting Standards carryingWe measure settlement risk RWA through the transactions that involve exchange of valueamount is the basis for measuring settlementapplication of prescribed regulatory risk weights to (e.g., security versus cash) where we mustrisk exposure.the settlement risk exposure.
deliver without first being able to determine with certainty that we will receive the countervalue.

Refer to section 3, Overview of risk-weighted assets.

III. Securitization exposures in the banking book

SecuritizationExposures arising from traditional andThe IFRS Accounting Standards carryingConsistent with the BCBS, we apply the FINMAexposures in thesynthetic securitizations held in our bankingamount after eligible regulatory credit riskdefined hierarchy of approaches for banking book banking bookbook.mitigation and credit conversion factor is thesecuritizations to measure RWA.
basis for measuring securitization exposure.–Internal ratings-based approach (SEC-IRBA), Refer to section 8, Securitizations.For synthetic securitization transactions, theconsidering the advanced IRB risk weights, if the exposure is equal to the fair value of the netsecuritized pool largely consists of IRB positions long or short securitization position.and internal ratings are available.
–External ratings-based approach (SEC-ERBA), if the IRB approach cannot be applied, risk weights

are applied based on external ratings, provided that we are able to demonstrate our expertise in critically reviewing and challenging the external ratings.
–Standardized approach (SEC-SA) or 1,250% risk weight factor,if none of the aforementioned approaches can be applied, we would apply the standardized approach where the delinquency status of a significant portion of the underlying exposure can be determined or a risk weight of 1,250%.

For re-securitization exposures we apply either the standardized approach or a risk weight factor of 1,250%.

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 11

CategoryDefinition of riskRegulatory risk exposureRisk-weighted assets

IV. Market risk

Value-at-risk (VaR)VaR is a statistical measure of market risk,The VaR component of market risk RWA is calculated representing the market risk losses that couldby taking the maximum of the period-end VaR and potentially be realized over a set time horizonthe product of the average VaR for the 60 trading (holding period) at an established level ofdays immediately preceding the period end and a confidence. For regulatory VaR, the holdingVaR multiplier. The quantity is then multiplied by a period is 10 days and the confidence level isrisk weight factor of 1,250% to determine RWA. The 99%. For our risk management measure,VaR multiplier is dependent on the number of VaR Management VaR, we apply a holding periodbacktesting exceptions within the most recent 250of 1 day and a confidence level of 95%.trading-day window.
For further differences between regulatory and Management VaR, refer to the “Risk management and control” section of the UBS Group Annual Report 2023, available under “Annual reporting” atubs.com/investors.

Refer to section 9, Market risk.

Stressed VaR (SVaR)SVaR is a 10-day 99% VaR measure estimatedThe derivation of SVaR RWA is similar to the one with model parameters that are calibrated toexplained above for VaR. Unlike VaR, SVaR is historical data covering a one-year period ofcomputed weekly, and as a result the average SVaR significant financial stress relevant to theis computed over the most recent 12 observations.
firm’s current portfolio.

Refer to section 9, Market risk.

Add-on for risks notPotential risks that are not fully captured byOur RniV framework is used to derive the RniV-based in VaR (RniV)our VaR model are referred to as RniV. Wecomponent of the market risk RWA, which is have a framework to identify and quantifyapproved by FINMA. Since the second quarter of these potential risks and underpin them with2018, RniV and RWA resulting from RniV are capital.recalibrated on a monthly basis.
As the RWA from RniV are add-ons, they do not Refer to section 9, Market risk.
reflect any diversification benefits across risks capitalized through VaR and SVaR.

Incremental riskThe IRC represents an estimate of the defaultThe IRC is calculated weekly, and the results are used charge (the IRC)and rating migration risk of all trading bookto derive the IRC-based component of the market risk positions with issuer risk, except for equityRWA. The derivation is similar to that for VaR- and products and securitization exposures,SVaR-based RWA, but without a VaR multiplier.
measured over a one-year time horizon at a 99.9% confidence level.

Refer to section 9, Market risk.

Securitization /Risk arising from traditional and syntheticThe exposure is equal to the fair value of theWe measure trading book securitization RWA using re-securitization insecuritizations held in our trading book.net long or short securitization position.theRatings-based approach, i.e., applying risk the trading bookweights based on external ratings.
Refer to section 8, Securitizations and section 9, Market risk.

V. Operational risk

Operational riskOperational risk is the risk of loss resultingWe use the advanced measurement approach to from inadequate or failed internal processes,measure operational risk RWA in accordance with people or systems, or from external causesFINMA requirements.
(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.

31 December 2023 Pillar 3 Report |UBS Group | Introduction and basis for preparation 12

Key metrics

Key metrics of the fourth quarter of 2023

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 atfsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-termsheet.

Our capital ratios increased, reflecting an increase in our common equity tier 1 (CET1) capital and an increase in our additional tier 1 (AT1) capital. Our leverage ratio decreased, reflecting an increase in the leverage ratio denominator (the LRD), partly offset by the increase in our tier 1 capital.

Our CET1 capital increased by USD 1.1bn to USD 78.5bn, mainly as the operating loss before tax of USD 0.8bn, dividend accruals of USD 0.8bn, amortization of transitional CET1 purchase price allocation (PPA) adjustments (interest rate and own credit) of USD 0.3bn (net of tax) and compensation- and own share-related components of USD 0.2bn were more than offset by positive effects from foreign currency translation of USD 1.6bn and an increase of USD 1.5bn in eligible deferred tax assets on temporary differences.

As part of the acquisition of the Credit Suisse Group, the assets acquired and liabilities assumed, including contingent liabilities, were recognized at fair value as of the acquisition date in accordance with IFRS 3,Business Combinations. The

PPA fair value adjustments required under IFRS 3 are recognized as part of negative goodwill and include effects on financial instruments measured at amortized cost, such as fair value impacts from interest rates and own credit, that are expected to accrete back to par through the income statement as the instruments are held to maturity. Similar owncredit-related effects have also been recognized as part of the PPA adjustments on financial liabilities measured at fair value. As agreed with the Swiss Financial Market Supervisory Authority (FINMA), a transitional CET1 capital treatment has been applied for certain of these fair value adjustments, given the substantially temporary nature of the IFRS-3accounting-driven effects. As such, equity reductions under IFRS Accounting Standards of USD 5.9bn (before tax) and USD 5.0bn (net of tax) as of the acquisition date have been neutralized for CET1 capital calculation purposes, of which USD 1.0bn (net of tax) relates to own-credit-related fair value adjustments. The transitional treatment is subject to linear amortization and will reduce to nil by 30 June 2027. In the fourth quarter of 2023, the amortization of transitional CET1 PPA adjustments (interest rate and own credit) was USD 0.3bn (net of tax).

Our tier 1 capital increased by USD 2.0bn to USD 92.4bn, reflecting the aforementioned increase in CET1 capital and an increase in AT1 capital of USD 0.9bn. The AT1 capital increase was mainly driven by two issuances of AT1 capital instruments of USD 3.5bn and positive impacts from interest rate risk hedge, foreign currency translation and other effects. These increases were partly offset by USD 3.0bn equivalent of AT1 capital instruments that ceased to be eligible as going concern capital when we issued notice of redemption of the instruments in the fourth quarter of 2023.

The TLAC available as of 31 December 2023 included CET1 capital, AT1 capital and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 31 December 2023 but is included as available TLAC in the KM2 table in this section.

Our available TLAC increased by USD 5.8bn to USD 199.5bn, driven by a USD 3.8bn increase in TLAC-eligible senior unsecured debt and the aforementioned increase in tier 1 capital. The increase in TLAC-eligible senior unsecured debt was mainly due to positive impacts from interest rate risk hedge, foreign currency translation and other effects, as well as the issuance of an aggregate of USD 0.3bn equivalent of TLAC-eligible senior unsecured debt. These increases were partly offset by the redemption of USD 2.2bn equivalent of TLAC-eligible senior unsecured debt.

During the fourth quarter of 2023, RWA were unchanged at USD 546.5bn, primarily as increases of USD 3.5bn from amounts below thresholds for deduction (250% risk weight) and USD 2.1bn from counterparty credit risk (CCR) RWA were partly offset by decreases of USD 2.7bn from market risk RWA, USD 1.6bn from equity positions under the simple risk-weight approach and USD 0.2bn from credit risk RWA. The remaining variance was spread across other risk types.

The leverage ratio denominator (the LRD) increased by USD 79.6bn to USD 1,695.4bn, driven by currency effects of USD 68.4bn and asset size and other movements of USD 11.1bn.

31 December 2023 Pillar 3 Report |UBS Group | Key metrics 13

The quarterly average liquidity coverage ratio (the LCR) of the UBS Group increased 19.1 percentage points to 215.7%, remaining above the prudential requirement communicated by FINMA. The movement in the average LCR was primarily driven by an increase in high-quality liquid assets (HQLA) of USD 48.1bn to USD 415.6bn, mostly driven by higher customer deposits and proceeds received from debt issuances and negative net new loans. The effect of the increase in average HQLA was partly offset by a USD 5.5bn increase in average net cash outflows, to USD 192.8bn. That increase was due to lower net inflows from securities financing transactions and lower inflows from lending assets, partly offset by lower outflows from debt issued.

As of 31 December 2023, the net stable funding ratio of the UBS Group increased 3.9 percentage points to 124.7%, remaining above the prudential requirement communicated by FINMA. Available stable funding increased by USD 53.7bn to USD 926.4bn, reflecting higher customer deposits, debt securities issued and regulatory capital. Required stable funding increased by USD 20.2bn to USD 743.2bn, predominantly reflecting higher trading and lending assets.

KM1: Key metrics| USD m, except where indicated | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | 31.12.23 | 130.9.23 | 1 | 30.6.231 | 31.3.23 | 31.12.22 |
| Available capital (amounts) | | | | | | | | | |
| 1Common Equity Tier 1 (CET1) | | 2 | | 78,485 | | 77,409 | 79,080 | 44,590 | 45,457 |
| 2Tier 12 | | | | 92,377 | | 90,369 | 92,110 | 57,694 | 58,321 |
| 3Total capital | 2 | | | 92,378 | | 90,369 | 92,110 | 58,182 | 58,806 |
| Risk-weighted assets (amounts) | | | | | | | | | |
| 4Total risk-weighted assets (RWA) | | | | 546,505 | 546,491 | | 556,603 | 321,660 | 319,585 |
| 4aMinimum capital requirement | | 3 | | 43,720 | | 43,719 | 44,528 | 25,733 | 25,567 |
| Risk-based capital ratios as a percentage of RWA | | | | | | | | | |
| 5CET1 ratio (%) | 2 | | | 14.36 | | 14.16 | 14.21 | 13.86 | 14.22 |
| 6Tier 1 ratio (%) | 2 | | | 16.90 | | 16.54 | 16.55 | 17.94 | 18.25 |
| 7Total capital ratio (%) | 2 | | | 16.90 | | 16.54 | 16.55 | 18.09 | 18.40 |
| Additional CET1 buffer requirements as a percentage of RWA | | | | | | | | | |
| 8Capital conservation buffer requirement (%) | | | | 2.50 | | 2.50 | 2.50 | 2.50 | 2.50 |
| 9Countercyclical buffer requirement (%) | | | | 0.14 | | 0.15 | 0.11 | 0.09 | 0.07 |
| 9aAdditional countercyclical buffer for Swiss mortgage loans (%) | | | | 0.33 | | 0.31 | 0.30 | 0.27 | 0.27 |
| 10Bank G-SIB and / or D-SIB additional requirements (%) | | | | 1.00 | | 1.00 | 1.00 | 1.00 | 1.00 |
| 11Total of bank CET1 specific buffer requirements (%) | | | 4 | 3.64 | | 3.65 | 3.61 | 3.59 | 3.57 |
| 12CET1 available after meeting the bank’s minimum capital requirements (%) | | | | 58.90 | | 8.54 | 8.55 | 9.36 | 9.72 |
| Basel III leverage ratio | | | | | | | | | |
| 13Total Basel III leverage ratio exposure measure | | | | 1,695,403 | 1,615,817 | | 1,677,877 | 1,014,446 | 1,028,461 |
| 14Basel III leverage ratio (%) | | 2 | | 5.45 | | 5.59 | 5.49 | 5.69 | 5.67 |
| Liquidity coverage ratio (LCR) | 6 | | | | | | | | |
| 15Total high-quality liquid assets (HQLA) | | | | 415,594 | 367,518 | | 257,107 | 230,208 | 238,585 |
| 16Total net cash outflow | | | | 192,760 | 187,256 | | 144,973 | 142,160 | 145,972 |
| 16aof which: cash outflows | | | | 342,096 | 344,862 | | 275,298 | 264,653 | 262,123 |
| 16bof which: cash inflows | | | | 149,336 | 157,606 | | 130,325 | 122,493 | 116,151 |
| 17LCR (%) | | | | 215.66 | | 196.53 | 175.24 | 161.93 | 163.72 |
| Net stable funding ratio (NSFR) | | | | | | | | | |
| 18Total available stable funding | | | | 926,424 | 872,742 | | 873,061 | 556,270 | 561,431 |
| 19Total required stable funding | | | | 743,159 | 722,927 | | 742,130 | 472,662 | 468,496 |
| 20NSFR (%) | | | | 124.66 | | 120.72 | 117.64 | 117.69 | 119.84 |

1 Information as of 31 December 2023, 30 September 2023 and 30 June 2023 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 2023, available under “Annual reporting” at ubs.com/investors, for more information. 2 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”. 3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 5 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital. 6 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the fourth quarter of 2023 and 63 data points in the third quarter of 2023. For the prior-quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.

KM2: Key metrics – TLAC requirements (at resolution group level)1| USD m, except where indicated | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| | | 31.12.232 | 30.9.232 | 30.6.232 | 31.3.23 | 31.12.22 |
| 1Total loss-absorbing capacity (TLAC) available | 3 | 199,484 | 193,722 | 194,863 | 110,319 | 105,312 |
| 2Total RWA at the level of the resolution group | | 546,505 | 546,491 | 556,603 | 321,660 | 319,585 |
| 3TLAC as a percentage of RWA (%) | | 36.50 | 35.45 | 35.01 | 34.30 | 32.95 |
| 4Leverage ratio exposure measure at the level of the resolution group | | 1,695,403 | 1,615,817 | 1,677,877 | 1,014,446 | 1,028,461 |
| 5TLAC as a percentage of leverage ratio exposure measure (%) | | 11.77 | 11.99 | 11.61 | 10.87 | 10.24 |
| 6aDoes the subordination exemption in the antepenultimate paragraph ofSection 11 of the FSB TLAC Term Sheet apply? | | | | No | | |
| 6bDoes the subordination exemption in the penultimate paragraph ofSection 11 of the FSB TLAC Term Sheet apply? | | | | No | | |
| recognized as external TLAC, divided by funding issued that ranks paripassu with excluded liabilities and that would be recognized as external | | | N/A – Refer to our response to 6b. | | | |
| TLAC if no cap was applied (%) | | | | | | |

31 December 2023 Pillar 3 Report |UBS Group | Key metrics 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.

RWA from amounts below thresholds for deduction (250% risk weight) increased by USD 3.5bn, primarily due to an increase in deferred tax assets, mainly related to the recognition of previously unrecognized deferred tax assets on temporary differences in connection with our business planning process and an election to capitalize compensationrelated costs for US tax purposes. RWA related to investments in associates in the banking and financial industry were broadly unchanged, mainly as a decrease related to our investment in SIX Group was almost entirely offset by a reclassification of investment s in associates from the simple risk-weight approach to the line related to items subject to thresholds for deduction.

CCR RWA increased by USD 2.1bn, mainly driven by increases of USD 0.9bn related to currency effects, USD 0.7bn related to model updates and USD 0.7bn related to methodology and policy changes, partly offset by a decrease of USD 0.2bn related to asset size and other movements. Model updates resulted in an increase of USD 0.7bn, primarily related to an update to a model for securities financing transactions, partly offset by the recalibration of certain multipliers as a result of improvements to models. Methodology and policy changes resulted in an RWA increase of USD 0.7bn, due to a change in the treatment of a derivatives portfolio from the internal model-based approach to the standardized approach for counterparty credit risk.

Market risk RWA decreased by USD 2.7bn, primarily driven by a decrease of USD 2.9bn from asset size and other movements, partly offset by an increase of USD 0.3bn related to ongoing parameter updates of the value-at-risk (VaR)
models. FINMA approved the integration of time decay into regulatory VaR and stressed VaR, which went live on 12 January 2024.

Equity positions under the simple risk-weight approach decreased by USD 1.6bn, primarily due to the aforementioned reclassification of investments in associates to the line related to items subject to thresholds for deduction , as well as reductions in exposures.

Credit risk RWA decreased by USD 0.2bn, mainly driven by an increase of USD 12.6bn related to currency effects, partly offset by decreases of USD 11.4bn related to asset size and other movements and USD 1.4bn related to model updates.
Asset size and other movements decreased by USD 11.4bn, mainly driven by negative net new loans in Global Wealth Management and lower lending assets in Personal & Corporate Banking. Furthermore, the fourth quarter of 2023 included an RWA decrease on loans and loan commitments in Non-core and Legacy driven by actions to actively unwind the portfolio, in addition to the natural roll-off and nostro accounts in Group Items. Model updates resulted in a decrease of USD 1.4bn, primarily related to the recalibration of certain multipliers as a result of improvements to models.

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 2023.
›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 2023, available under
“Annual reporting” atubs.com/investors, for more information about capital management and RWA, including details regarding

movements in RWA during 2023

31 December 2023 Pillar 3 Report |UBS Group | Overview of risk-weighted assets 15

OV1: Overview of RWA
							Section or	Minimumcapital
						table reference		requirements1
USD m			31.12.2330.9.23	30.6.23	31.3.23	31.12.22		31.12.23
1Credit risk (excluding counterparty credit risk)			279,723279,914	286,557	165,174	162,889	5	22,378
2of which: standardized approach (SA)			69,72570,139	70,842	43,757	41,930	CR4	5,578
2aof which: non-counterparty-related risk			17,97918,124	18,730	12,838	12,855	CR4	1,438
3of which: foundation internal ratings-based (F-IRB) approach
4of which: supervisory slotting approach			3,103	3,3143,432			CR10	248
5of which: advanced internal ratings-based (A-IRB) approach			206,896206,461	212,282	121,417	120,958	CR6	16,552
6Counterparty credit risk	2		42,86240,807	43,123	34,702	36,6306, CCR1, CCR8		3,429
7of which: SA for counterparty credit risk (SA-CCR)			9,233	7,6508,193	7,239	6,785		739
8of which: internal model method (IMM)			17,27319,274	20,329	15,921	16,438	CCR7	1,382
8aof which: value-at-risk (VaR)			10,996	8,7488,472	7,402	9,421	CCR7	880
9of which: other CCR			5,360	5,1346,129	4,139	3,987		429
10Credit valuation adjustment (CVA)			8,807	9,0929,335	4,067	4,310	6, CCR2	705
11Equity positions under the simple risk-weight approach			5,454	7,0207,477	4,187	3,768	5, CR10	436
12Equity investments in funds – look-through approach			2,776	2,8242,849	717	638		222
13Equity investments in funds – mandate-based approach			823	884	9361,095	1,250		66
14Equity investments in funds – fallback approach			662	844	847266	236		53
15Settlement risk			523	945	743331	408		42
16Securitization exposures in banking book			12,83112,968	13,702	313	271	8	1,026
17of which: securitization internal ratings-based approach (SEC-IRBA)			7,000	7,3967,609			8	560
18of which: securitization external ratings-based approach (SEC-ERBA), including
internal assessment approach (IAA)			924	851	88728	28	8	74
19of which: securitization standardized approach (SEC-SA)			4,907	4,7215,206	285	243	8	393
20Market Risk			21,39824,050	23,637	15,102	13,478	8,9	1,712
21of which: standardized approach (SA)			509	9631,092	371	463	MR1	41
22of which: internal models approach (IMA)			20,88923,087	22,545	14,730	13,015	MR2	1,671
23Capital charge for switch between trading book and banking book		3
24Operational risk			145,426145,426	145,426	81,379	81,379		11,634
25Amounts below thresholds for deduction (250% risk weight)		4	25,21921,716	21,973	14,326	14,328		2,018
25aof which: deferred tax assets			16,39212,589	12,419	11,349	11,381		1,311
26Floor adjustment
27Total			546,505546,491	556,603	321,660	319,585		43,720

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 the banking and finance sector are excluded from the regulatory scope of

consolidation. Subject to the regulatory auditor’s consent, a subsidiary fully consolidated under IFRS 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 2023 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 2023 Pillar 3 Report |UBS Group | Overview of risk-weighted assets 16

As of 31 December 2023, UBS Asset Management Life Ltd (total assets on a standalone basis as of 31 December 2023:
USD 15,959m; total equity on a standalone basis as of 31 December 2023: USD 29m) 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. The difference is mainly related to financial assets at fair value not held for trading and other financial liabilities designated at fair value. As of 31 December 2023, 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 the IFRS Accounting Standards or under the regulatory scope. As of 31 December 2023, 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 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 2023, available under “Annual reporting” atubs.com/investors.p

Fair value measurement

Annual |The table below refers to additional information about fair value measurement that is provided in the UBS Group
Annual Report 2023, available under “Annual reporting” atubs.com/investors.

LIA: Explanations of differences between accounting and regulatory exposure amounts

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber Valuation methodologies applied,Consolidated financial statements–Note 21a Valuation principles366 including mark-to-market and–Note 21c Fair value hierarchy367–371 mark-to-model methodologies in–Note 21e Level 3 instruments: valuation techniques and373–376 useinputs Description of the independentConsolidated financial statements–Note 21b Valuation governance366 price verification process Procedures for valuationConsolidated financial statements–Note 21d Valuation adjustments and other items372–373 adjustments or reserves for valuing trading positions by type of instrument

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 2023 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| | | Carrying valuesas reported in | Carrying values | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | publishedfinancial | under scope ofregulatory | | | | | | |
| 31.12.23 | | statements | consolidation | | | Carrying values of items: | | | |
| | | | | | | | | Not subject to | capital |
| | | | | Subject to | counterpartySubject to | Subject to | Subject to | requirementsor subject to | |
| USD m | | | | frameworkcredit risk | frameworkcredit risk | securitizationframework | market riskframework | | from capitaldeduction |
| Assets | | | | | 1 | 2 | 3 | | |
| Cash and balances at central banks | | 314,148 | 314,148 | 314,148 | | | | | |
| Loans and advances to banks | | 21,161 | 21,079 | 20,782 | | 2644 | 33 | | |
| Receivables from securities financing transactions | | 99,039 | 99,006 | | 99,006 | | | 15,842 | |
| Cash collateral receivables on derivative instruments | | 50,082 | 49,657 | | 49,657 | | | 693 | |
| Loans and advances to customers | | 639,844 | 639,306 | 612,350 | 2,539 | 4 | 24,416 | | |
| Other financial assets measured at amortized cost | | 65,498 | 64,819 | 60,213 | 10,539 | 6 | 366 | | |
| Total financial assets measured at amortized cost | | 1,189,773 | 1,188,016 | 1,007,492 | 162,005 | | 24,815 | 16,535 | |
| Financial assets at fair value held for trading | | 169,633 | 169,010 | 10,608 | 551,285 | 6 | 13,135 | 145,266 | |
| of which: assets pledged as collateral that may be sold orrepledged by counterparties | | 51,263 | 51,263 | | 51,263 | | | 51,263 | |
| Derivative financial instruments | | 176,084 | 176,090 | 18 | 176,037 | | | 172,355 | 28 |
| Brokerage receivables | | 21,037 | 21,037 | 5,168 | 15,869 | | | | |
| Financial assets at fair value not held for trading | 7 | 104,018 | 88,085 | 45,694 | 38,715 | 6, 8 | 99 | 42,428 | |
| Total financial assets measured at fair value through profitor loss | | 470,773 | 454,224 | 61,488 | 281,906 | | 13,234 | 360,049 | 28 |
| Financial assets measured at fair value through othercomprehensive income | | 2,233 | 2,184 | 2,184 | | | | | |
| Investments in associates | | 2,373 | 2,403 | 2,375 | | | | | 29 |
| Property, equipment and software | | 17,849 | 17,764 | 17,764 | | | | | |
| Goodwill and intangible assets | | 7,515 | 7,448 | 336 | | | | | 7,112 |
| Deferred tax assets | | 10,682 | 10,665 | 97,588 | | | | | 3,077 |
| Other non-financial assets | | 16,049 | 16,056 | 9,037 | | | | 5,931 | 1,088 |
| Total assets | | 1,717,246 | 1,698,760 | 1,108,264 | 443,910 | | 38,049 | 382,515 | 11,334 |
| Liabilities | | | | | | | | | |
| Amounts due to banks | | 70,962 | 71,033 | | | | | | 71,033 |
| Payables from securities financing transactions | | 14,394 | 14,394 | | 14,394 | | | 8,319 | |
| Cash collateral payables on derivative instruments | | 41,582 | 41,345 | | 41,345 | | | 4,393 | |
| Customer deposits | | 792,029 | 792,276 | | | | | | 792,276 |
| Debt issued measured at amortized cost | | 237,817 | 236,102 | | | | | | 236,102 |
| Other financial liabilities measured at amortized cost | | 20,851 | 20,675 | | | | | | 20,674 |
| Total financial liabilities measured at amortized cost | | 1,177,633 | 1,175,826 | | 55,738 | | | 12,712 | 1,120,086 |
| Financial liabilities at fair value held for trading | | 34,159 | 33,757 | | | | | 33,757 | |
| Derivative financial instruments | | 192,181 | 192,375 | 1,250 | 191,098 | | | 190,162 | 2610 |
| Brokerage payables designated at fair value | | 42,522 | 42,522 | | 29,180 | | | | 13,342 |
| Debt issued designated at fair value | | 128,289 | 128,303 | | | | | 119,201 | 9,102 |
| Other financial liabilities designated at fair value | | 29,484 | 13,492 | 1,199 | 7,718 | | | 11,613 | 671 |
| Total financial liabilities measured at fair value throughprofit or loss | | 426,635 | 410,449 | 2,449 | 227,995 | | | 354,732 | 23,140 |
| Provisions | | 12,250 | 11,709 | 642 | | | 871 | | 10,196 |
| Other non-financial liabilities | | 14,089 | 14,110 | 694 | | | | | 13,416 |
| Total liabilities | | 1,630,607 | 1,612,095 | 3,785 | 283,733 | | 871 | 367,444 | 1,166,839 |

simple risk-weight method of USD 33,464m, which are excluded from the credit risk tables CR1, CR2, CR3 and CRB in section 5 of this report, resulting in IFRS Accounting Standards carrying values reflected in the credit risk section of USD 1,074,765m. However, credit risk tables CR4 and CR5 include non-counterparty-related risk, and credit risk table CR10 includes equity positions in the banking book subject to the simple risk-weight method. 2 Includes settlement risk, which is not included in section 5 of this report. 3 This column only consists of securitization positions in the banking book. Trading book securitizations are included in the “Subject to market risk framework” column. 4 Consists of 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.
p

31 December 2023 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) | | | | | |
| 31.12.23 | Total | | Items subject to: | | |
| | | Credit risk | Counterpartycredit risk | Securitization | Market risk |
| USD m | | framework | framework1 | framework | framework1 |
| 1Asset carrying value amount under scope of regulatory consolidation (as per template LI1) | 1,698,760 | 1,108,228 | 443,945 | 38,049 | 382,550 |
| 2Liabilities carrying value amount under scope of regulatory consolidation | 445,256 | 3,785 | 283,734 | 871 | 367,443 |
| 3Total net amount under regulatory scope of consolidation | 1,253,504 | 1,104,443 | 160,211 | 37,178 | 15,106 |
| 4Off-balance sheet amounts (post-CCF; e.g., guarantees, commitments) | 175,692 | 153,348 | | 22,344 | |
| 5Differences due to prudential filters | (11,336) | | | | |
| 6Derivatives: PFE and collateral mitigation (including off-balance sheet exposures) | 155,506 | | 155,506 | | |
| 7SFTs: Collateral mitigation (including off-balance sheet exposures) | (96,212) | | (96,212) | | |
| 8Other differences including collateral mitigation in the banking book | 64,9802 | 8,138 | (47) | (2,844) | |
| 9Exposure amounts considered for regulatory purposes | 1,542,135 | 1,266,030 | 219,4253 | 56,678 | 4 |

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 balance sheet structure.

31 December 2023 Pillar 3 Report |UBS Group | Linkage between financial statements and regulatory exposures 19

The Pillar 3 category “Loans” consists of financial instruments held with the intent to collect the 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 withinFinancial assets at fair value held for trading;
–Brokerage receivables;
–loans including structured loans that are included withinFinancial 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 withinOther financial assets measured at amortized cost;
–Financial assets at fair value held for trading, excluding traded loans;
–Financial assets at fair value not held for trading, excluding loans; and –Financial assets measured at fair value through other comprehensive income.p

General information about credit risk

Annual |The table below presents an overview of Pillar 3 disclosures that are provided separately in the UBS Group Annual
Report 2023, available under “Annual reporting” atubs.com/investors.

CRA: Credit risk management

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber Translation of the business modelRisk management and control–Key risks by business division and Group Items98 into the components of the bank’s–Risk categories99–100 credit risk profile–Main sources of credit risk110 –Credit risk profile of the Group111–112 Consolidated financial statements–Note 20d Maximum exposure to credit risk359–360 Criteria and approach used forRisk management and control–Risk governance101–103 defining credit risk management–Risk appetite framework103–106 policy and for setting credit risk–Risk measurement107–109 limits–Credit risk–Overview of measurement, monitoring and111

management techniques Structure and organization of theRisk management and control–Risk governance101–103 credit risk management and control function Interaction between the credit riskRisk management and control–Risk governance101–103 management, risk control,–Risk appetite framework103–106 compliance, and internal audit functions Scope and content of the reportingRisk management and control–Risk governance101–103 on credit risk exposure to executive–Risk appetite framework103–106 management and to the Board of–Internal risk reporting106 Directors–Credit risk profile of the Group111–112

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 20

Semi-annual |The CR1 table below provides a breakdown of defaulted and non-defaulted loans, debt securities and offbalance 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.

Increases in net carrying values of loans and decreases in net carrying values of debt securities, when compared with 30 June 2023, are explained in the CR3 table in this report. The net carrying value of off-balance sheet exposures decreased by USD 10.2bn to USD 117.7bn, primarily driven by a reduction in loan commitments and guarantees across businesses.
›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 2023, available under ”Annual reporting” atubs.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: | | | | Of which: ECL accounting provisionsfor credit losses on SA exposures | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | Allocated in | Allocated in | Of which: ECL | accounting | |
| | | Defaulted | Non-defaulted | Allowances / | category ofregulatory | category ofregulatory | credit losses onprovisions for | | |
| USD m | | exposures1 | exposures | impairments2 | Specific | 3General | 3IRB exposures | | Net values |
| 31.12.23 | | | | | | | | | |
| 1Loans4 | | 5,836 | 982,846 | (1,758) | (76) | | (69) | (1,613) | 986,924 |
| 2Debt securities | | 56 | 87,789 | (4) | | | (4) | | 87,841 |
| 3Off-balance sheet exposures | 5 | 565 | 117,410 | (253) | | (1) | (3) | (249) | 117,722 |
| 4Total | | 6,457 | 1,188,045 | (2,015) | (78) | | (76) | (1,862) | 1,192,487 |

30.6.23
1Loans4		5,276	935,659	(1,367)	(80)	(80)	(1,207)	939,568
2Debt securities		68	90,095	(4)		(4)		90,160
3Off-balance sheet exposures	5	614	127,570	(252)	(1)	(6)	(245)	127,931
4Total		5,958	1,153,323	(1,622)	(81)	(89)	(1,452)	1,157,659

31.12.22
1Loans4		2,222	584,393	(881)	(72)	(44)	(764)	585,734
2Debt securities			79,964	(3)		(3)		79,961
3Off-balance sheet exposures	5	233	59,339	(159)	(1)	(3)	(155)	59,413
4Total		2,455	723,695	(1,043)	(73)	(50)	(919)	725,107

1 Defaulted exposures include stage 3 and defaulted purchased credit-impaired (PCI) assets 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 2023, available under "Annual reporting" at ubs.com/investors, for more information about IFRS 9. 2 Expected credit loss (ECL) allowances and provisions amount to USD 2,261m as of 31 December 2023, 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 2023, available under “Annual reporting” at ubs.com/investors. This Pillar 3 table excludes ECL on securitization on- and off- balance sheet exposures (31 December 2023: USD 143m; 30 June 2023: USD 165m), ECL on revocable off-balance sheet exposures (31 December 2023: USD 95m; 30 June 2023: USD 74m), ECL on exposures subject to counterparty credit risk (31 December 2023: USD 5m; 30 June 2023: USD 5m) and ECL on irrevocable committed prolongation of loans that do not give rise to additional credit exposures (31 December 2023: USD 4m; 30 June 2023: USD 3m). 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.
p

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 2023. The total amount of defaulted loans and debt securities was USD 6.5bn as of
31 December 2023, an increase of USD 0.5bn compared with 30 June 2023.| CR2: Changes in stock of defaulted loans, debt securities and off-balance sheet exposures | | | | |
| --- | --- | --- | --- | --- |
| USD m | | ended 31.12.23For the half year | For the half yearended 30.6.23 | |
| | | | 1 | 1 |
| 1Defaulted loans, debt securities and off-balance sheet exposures as of the beginning of the half year | | 5,958 | | 2,455 |
| 2Loans and debt securities that have defaulted since the last reporting period | | 2,305 | | 596 |
| 3Returned to non-defaulted status | | (152) | | (186) |
| 4Amounts written off | | (55) | | (38) |
| 5Other changes | | (1,601) | | 3,131 |
| 5aof which: acquisition of the Credit Suisse Group | | | 0 | 3,298 |
| 5bof which: other | 2 | (1,601) | | (167) |
| 6Defaulted loans, debt securities and off-balance sheet exposures as of the end of the half year | | 6,457 | | 5,958 |

31 December 2023 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 industry1 31.12.23| | | Central | Construc- | gas, waterElectricity, | Financial | Hotels and | Manufac- | | Private | PublicReal estate | Retail and | | Total carrying | amount of |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD m | | banks | Banks | tion | supplyservices | restaurants | turing4 | Mininghouseholds | authorities | and rentals | wholesale | 5Services | Other6 | assets |
| Loans2 | | 313,331 | 21,877 | 5,255 | 3,339105,214 | 3,884 | 14,735 | 1,487389,422 | | 5,47345,909 | 15,974 | 32,381 | 28,643 | 986,924 |
| Debt securities | | 14,096 | 19,813 | | 1,42018,773 | | 63 | | 29,539 | | 41 | 3,372 | 725 | 87,841 |
| Off-balance sheet exposures | 3 | | 5,065 | 2,693 | 5,89032,044 | 493 | 18,394 | 2,634 | 4,834 | 3,785 | 2,52615,031 | 8,386 | 15,947 | 117,722 |
| Total | | 327,427 | 46,754 | 7,94810,649 | 156,031 | 4,378 | 33,192 | 4,121394,256 | 38,797 | 48,475 | 31,006 | 44,139 | 45,315 | 1,192,487 |

31.12.22
Loans2		168,913	15,200	3,176	1,42772,709	2,368	4,295	698242,061		4,22624,472		9,35731,508		5,323	585,734
Debt securities		18,402	16,476		65915,001		1		26,045				3,376		79,961
Off-balance sheet exposures	3		4,373	1,526	1,38815,092	231	9,533	922	4,163	2,371	1,804	7,747	8,560	1,702	59,413
Total		187,315	36,049	4,702	3,474102,802	2,59913,830		1,620246,225	32,642	26,276	17,104	43,443		7,026	725,107
4 Includes the chemicals industry. 5 Includes the food and beverages industry. 6 Consists of transport, storage, communications and other.															p

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| 31.12.23 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| USD m | | Switzerland | Americas | Asia Pacific | EMEATotal carrying value of | assets |
| Loans1 | | 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 |
| Total3 | | 568,108 | 331,712 | 85,265 | 207,403 | 1,192,487 |

31.12.22
Loans1		292,134	185,809	40,767	67,024	585,734
Debt securities		18,021	34,119	11,002	16,818	79,961
Off-balance sheet exposures	2	22,808	21,499	3,002	12,103	59,413
Total3		332,964	241,427	54,771	95,946	725,107
2023 to combine Latin America and North America under Americas, and Middle East and Africa along with the rest of Europe unde r EMEA. The comparative period has been adjusted accordingly.						p

31 December 2023 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 | | | | | |
| --- | --- | --- | --- | --- | --- |
| 31.12.23 | | | | | |
| USD m | | 1 year or lessDue in | 1 year and 5 yearsDue between | Due over5 years | amount of assetsTotal carrying |
| Loans1 | | 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 |

31.12.22
Loans1		369,378	139,825	76,531	585,734
Debt securities		32,783	27,071	20,106	79,961
Off-balance sheet exposures	2	25,059	30,630	3,723	59,413
Total3		427,221	197,527	100,359	725,107

Annual |

CRB: Policies for past due, non-performing and credit -impaired claims

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber| Policies for past due, non- | Risk management and control | –Credit risk: Non-performing | 124 |
| --- | --- | --- | --- |
| performing and credit-impaired | | –Credit risk: Default and credit-impaired | 124 |
| claims | | | |

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.| 31.12.23 | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| | | Credit-impaired exposures, | Allowances for credit- | | exposures net ofCredit-impaired | Write-offs for the | |
| USD m | | | grossimpaired exposures | | allowances | | year ended |
| 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) |

31.12.22
Central Banks
Banks
Construction		174	(17)	157	(2)
Electricity, gas, water supply		4		4
Financial services		378	(96)	282	(41)
Hotels and restaurants		56	(1)	55	(3)
Manufacturing	2	190	(107)	82	(3)
Mining		7	(3)	4	(1)
Private households		975	(104)	871	(11)
Public authorities		9	(4)	5
Real estate and rentals		57	(17)	39	(1)
Retail and wholesale	3	302	(149)	152	(17)
Services		266	(33)	233	(5)
Transport, storage, communications and other		38	(30)	8	(12)
Total		2,455	(562)	1,892	(95)
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.					p

31 December 2023 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.| 31.12.23 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| USD m | Credit-impaired exposures, | grossAllowances for credit-impaired | exposuresCredit-impaired exposures net | of allowances | Write-offs for the year ended | |
| 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) |
| Total1 | | 6,457 | (1,135) | 5,323 | | (93) |

31.12.22
Switzerland	1,336	(308)	1,028	(37)
Americas	454	(83)	371	(45)
Asia Pacific	269	(53)	216	0
EMEA	396	(118)	278	(13)
Total1	2,455	(562)	1,892	(95)

Annual |The table below provides a breakdown of total loan balances where payments have been missed. The past due amounts increased to USD 3.4bn, compared with USD 1.7bn in 2022, driven by the acquisition of the Credit Suisse
Group.| CRB: Past due exposures | 1 | | |
| --- | --- | --- | --- |
| USD m | | 31.12.23 | 31.12.22 |
| 1–30 days | | 1,048 | 310 |
| 31–60 days | | 300 | 97 |
| 61–90 days | | 253 | 65 |
| >90 days | | 1,759 | 1,225 |
| Total | | 3,360 | 1,698 |
| 1 For Credit Suisse, US GAAP gross loans held at amortized cost were used instead of IFRS Accounting Standards amounts. Purchase price allocation (PPA) adjustments were applied. | | | p |
| Annual \ | CRB: Restructured exposures | | |

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber

Restructured exposuresRisk management and control–Credit risk: Forbearance (credit restructuring)124 p

Annual |The table below provides more information about restructured exposures as of 31 December 2023.The increase to USD 2.9bn, compared with USD 1.0bn in 2022, is driven by the acquisition of the Credit Suisse Group.

CRB: Breakdown of restructured exposures between credit-impaired and non-credit-impaired Credit-impairedNon-credit-impairedTotal USD m31.12.2331.12.2231.12.2331.12.2231.12.2331.12.22 Restructured exposures2,711971221172,933989

31 December 2023 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
2023, available under “Annual reporting” atubs.com/investors.

CRC: Credit risk mitigation

UBS Group Annual Report 2023 pages Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber

Core features of policies andRisk management and control–Traded products116–117 processes for, and an indication of the extent to which the bank makesConsolidated financial statements–Note 11 Derivative instruments334–336 use of, on- and off-balance sheet–Note 22 Offsetting financial assets and financial liabilities380–381 netting–Note 1a item 2i Offsetting310

Core features of policies andRisk management and control–Credit risk mitigation118–119 processes for collateral evaluation and management

Information about market or creditRisk management and control–Risk concentrations109 risk concentrations under the credit–Credit risk mitigation118–119 risk mitigation instruments used Consolidated financial statements–Note 11 Derivative instruments334–336 –Note 20d Maximum exposure to credit risk359–360 –Note 21h Maximum exposure to credit risk for financial378 instruments measured at fair value –Note 22 Offsetting financial assets and financial liabilities380–381 p

Additional information about counterparty credit risk mitigation 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 2023, the carrying amount of unsecured loans increased by USD 42.2bn to USD 398.3bn, mainly due to higher balances at central banks driven by inflows from customer deposits, lending assets and net new issuances of long-term debt. Unsecured debt securities decreased by USD 2.3bn to USD 87.6bn, mainly due to movements in highquality liquid assets (HQLA).

The carrying amount of partially or fully secured loans increased by USD 5.1bn to USD 58 8.6bn, mainly as a result of currency effects in Personal & Corporate Banking.

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 25

CR3: Credit risk mitigation techniques – overview1 Secured portion of exposures partially or fully secured:
Exposures fullyExposures partiallyExposures secured unsecured: carryingor fully secured:Total: carryingExposures securedby financialExposures secured USD mamountcarrying amountamountby collateralguaranteesby credit derivatives| 31.12.23 | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 1Loans2 | | 398,277 | 588,647 | 986,924 | 533,136 | 10,766 | 46 |
| 1aof which: cash and balances at centralbanks | | 312,971 | | 312,971 | | | |
| 2Debt securities | | 87,635 | 206 | 87,841 | 201 | | |
| 3Total | | 485,912 | 588,853 | 1,074,765 | 533,337 | 10,766 | 46 |
| 4of which: defaulted | 3 | 1,189 | 3,643 | 4,832 | 2,445 | 287 | 0 |

30.6.23
1Loans2		356,056	583,512	939,568	524,676	7,181	34
1aof which: cash and balances at centralbanks		260,557		260,557
2Debt securities		89,951	208	90,160	202
3Total		446,007	583,720	1,029,728	524,879	7,181	34
4of which: defaulted	3	831	3,925	4,757	2,630	360

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

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 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 2022.

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

31.12.23 External ratings used Asset classesMoody’sS&PFitch 1Central governments and central bankslll 2Banks and securities dealerslll 3Public-sector entities and multi-lateral development bankslll 4Corporateslll p

31 December 2023 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 credit risk mitigation (CRM) on the calculation of capital requirements under the standardized approach.

Compared with 30 June 2023, exposures before credit conversion factors (CCF) and CRM in the Central governments

and central banks asset class increased by USD 19.8bn to USD 88.5bn, driven by increased balances at central banks.

Exposures post-CCF and post-CRM in the Banks and securities dealers asset class decreased by USD 1.9bn to USD 17.2bn.

RWA decreased by USD 0.6bn to USD 4.1bn, mainly driven by decreases in nostro accounts and high-quality liquid assets

(HQLA).

Exposures before CCF and CRM in the Corporates asset class increased by USD 1.4bn to USD 68.6bn and exposures post-

CCF and post-CRM increased by USD 1.7bn to USD 51.6bn, driven by increases in loans in Global Wealth Management

and HQLA in Group Items.

CR4: Standardized approach – credit risk exposure and credit risk mitigation (CRM) effects1

ExposuresExposures before CCF and CRMpost-CCF and post-CRMRWA and RWA density On-balanceOff-balanceOn-balanceOff-balance sheetsheetsheetsheetRWA density USD m, except where indicatedamountamountTotalamountamountTotalRWAin %| 31.12.23 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| Asset classes | | | | | | |
| 1Central governments and central banks | 88,175 | 30688,481 | 87,539 | 1087,549 | 686 | 0.8 |
| 2Banks and securities dealers | 16,061 | 2,46118,522 | 15,968 | 1,19917,167 | 4,062 | 23.7 |
| 3Public-sector entities and multi-lateral development banks | 4,297 | 4,1688,465 | 3,613 | 1,1944,807 | 1,382 | 28.7 |
| 4Corporates | 45,415 | 23,22368,638 | 44,805 | 6,78851,593 | 36,370 | 70.5 |
| 5Retail | 10,332 | 3,37713,709 | 9,824 | 18510,009 | 7,917 | 79.1 |
| 6Equity | | | | | | |
| 7Other assets | 20,923 | 25421,176 | 20,923 | 25421,176 | 19,309 | 91.2 |
| 7aof which: non-counterparty related assets | 18,906 | 25019,156 | 18,906 | 25019,155 | 17,979 | 93.9 |
| 7bof which: others | 2,017 | 42,021 | 2,017 | 42,021 | 1,330 | 65.8 |
| 8Total | 185,203 | 33,789218,992 | 182,671 | 9,630192,301 | 69,725 | 36.3 |

30.6.23
Asset classes
1Central governments and central banks	68,617	2068,637	68,019	68,019	550	0.8
2Banks and securities dealers	17,955	2,46220,417	17,853	1,18819,041	4,681	24.6
3Public-sector entities and multi-lateral development banks	3,347	4,1587,505	3,342	1,2614,603	1,294	28.1
4Corporates	44,969	22,23967,208	43,855	6,00749,862	36,826	73.9
5Retail	10,052	3,29713,349	9,818	23710,055	7,864	78.2
6Equity
7Other assets	20,776	1,40622,182	20,502	1,32521,827	19,627	89.9
7aof which: non-counterparty related assets	19,674	24619,920	19,674	24619,920	18,730	94.0
7bof which: others	1,102	1,1602,263	828	1,0801,907	896	47.0
8Total	165,716	33,581199,298	163,388	10,018173,406	70,842	40.9

31.12.22
Asset classes
1Central governments and central banks	4,767	04,767	4,771	14,772	276	5.8
2Banks and securities dealers	13,540	1,21214,752	13,518	52914,047	3,001	21.4
3Public-sector entities and multi-lateral development banks	3,158	1,7574,915	3,158	7813,938	1,021	25.9
4Corporates	23,309	12,76936,078	23,311	3,00326,314	18,699	71.1
5Retail	7,987	3,13211,119	7,879	1998,079	6,078	75.2
6Equity
7Other assets	13,229	24513,474	13,229	24513,474	12,855	95.4
7aof which: non-counterparty related assets	13,229	24513,474	13,229	24513,474	12,855	95.4
7bof which: others
8Total	65,990	19,11585,105	65,866	4,75870,624	41,930	59.4
1 Exposures in this table represent carrying amounts in accordance with the regulatory scope of consolidation.						p

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 27

Exposures by asset class and risk weight
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| | | | | | exposures amount | (post-CCF and |
| --- | --- | --- | --- | --- | --- | --- |
| Risk weight | 0%10% | 20%35% | 50%75% | 100%150% | Others | post-CRM) |

31.12.23
Asset classes
1Central governments and central banks		86,731	139	77	563	38		87,549
2Banks and securities dealers			15,766	1,006	390	4		17,167
3Public-sector entities and multi-lateral development banks		396	3,087	1,121	201	2		4,807
4Corporates			12,6672,573	4,520	3529,989	4111,399	1	51,593
5Retail			2,568	2,298	4,883	260		10,009
6Equity
7Other assets		1,956			19,213	8		21,176
7aof which: non-counterparty related assets		1,176			17,979			19,155
7bof which: others		779			1,234	8		2,021
8Total		89,084	31,6595,141	6,7252,333	55,239	7141,406	192,301
9of which: secured by real estate	2		5,141	84155	4,941			10,321
10of which: past due	3				553	375		928

30.6.23
Asset classes
1Central governments and central banks		67,360	139	31	451	37		68,019
2Banks and securities dealers			16,734	1,970	331	6		19,041
3Public-sector entities and multi-lateral development banks		426	2,996	974	205	2		4,603
4Corporates			9,1552,362	4,748	3730,852	5802,128	1	49,862
5Retail			2,635	2,405	4,769	246		10,055
6Equity
7Other assets		2,309			19,508	9		21,827
7aof which: non-counterparty related assets		1,189			18,730			19,920
7bof which: others		1,120			778	9		1,907
8Total		70,095	29,0244,997	7,7242,442	56,116	8712,138	173,406
9of which: secured by real estate	2		4,997	83146	4,869			10,094
10of which: past due	3				468	98		565

31.12.22
Asset classes
1Central governments and central banks		4,454	51	1	266			4,772
2Banks and securities dealers			13,436	594	16			14,047
3Public-sector entities and multi-lateral development banks		12	3,255	603	68			3,938
4Corporates			7,2672,397	245	4316,276	482	1	26,314
5Retail			2,731	1,018	4,270	58		8,079
6Equity
7Other assets		619			12,855			13,474
7aof which: non-counterparty related assets		619			12,855			13,474
7bof which: others
8Total		5,084	24,0105,129	1,4431,061	33,751	6382		70,624
9of which: secured by real estate	2		5,129	81	993,690			8,998
10of which: past due	3				283	115		399

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 28

Credit risk under the advanced internal ratings-based approach

Annual |Under the advanced internal ratings-based (A-IRB) approach, the required capital for credit risk is quantified through

empirical models that we have developed to estimate the probability of default (PD), loss given default (LGD), exposure at default (EAD) and other parameters, subject to FINMA approval. The table below presents an overview of Pillar 3 disclosures that are provided separately in the UBS Group Annual Report 2023, available under “Annual reporting” at ubs.com/investors.

CRE: Qualitative disclosure related to IRB models

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber Internal model development,Risk management and control–Risk measurement107–109 controls and changes–Credit risk models119–123 –Key features of our main credit risk models120 –Risk governance101–103 –Model risk management106–107 Relationships between riskRisk management and control–Risk governance101–103 management and internal audit and–Risk measurement107–109 independent review of IRB models Scope and content of the reportingRisk management and control–Risk measurement107–109 related to credit risk models–Credit risk–Overview of measurement, monitoring and111 management techniques –Credit risk models119–123 Supervisor approval of appliedRisk management and control–Risk measurement107–109 approaches–Changes to models and model parameters during the period123 –Stress testing107–108 –Key features of our main credit risk models120 Model risk management106–107

– Number of key models used byRisk management and control–Credit risk models119–123 portfolio and the main differences between models

Description of the mainRisk management and control–Credit risk models119–123
characteristics of approved models

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 2023, EAD increased by USD 22.6bn to USD 1,057.8bn, and RWA decreased by USD 5.4bn to USD 206.9bn across various asset classes.

In the Central governments and central banks asset class, EAD increased by USD 28.1bn to USD 281.4bn, and RWA increased by USD 0.3bn to USD 4.7bn. EAD increased primarily driven by higher cash and balances with central banks .

In the Banks and securities dealers asset class, EAD decreased by USD 3.3bn to USD 16.5bn, and RWA decreased by USD 1bn to USD 6.9bn. EAD decreased primarily driven by a decrease in our Nostro balance.

In the Public-sector entities and multi-lateral development banks asset class, EAD decreased by USD 0.1bn to USD 8.5bn, and RWA slightly decreased to USD 0.8bn.

In the Corporates: specialized lending asset class, EAD increased by USD 1.7bn to USD 63.0bn, and RWA increased by USD 0.1bn to USD 27.4bn. EAD increased primarily due to currency effects in Personal & Corporate Banking.

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 29

In the Corporates: other lending asset class, EAD decreased by USD 11.0bn to USD 129.1bn, and RWA decreased by USD 8.6bn to USD 75.9bn. EAD decreased, primarily driven by a decrease in commercial loans in Non-core and Legacy.

In the Retail: residential mortgages asset class, EAD increased by USD 14.5bn to USD 311.6bn, and RWA increased by USD 4.5bn to USD 64.6bn. EAD and RWA increased, mainly reflecting currency effects and business growth in Personal & Corporate Banking and Global Wealth Management.

In the Retail: qualifying revolving retail exposures (QRRE) asset class, EAD increased by USD 1.8bn to USD 7.5bn, and RWA increased by USD 0.1bn to USD 1.4bn. EAD increased due to growth in the credit card business in Personal & Corporate Banking.

In the Retail: other retail asset class, EAD decreased by USD 9.1bn to USD 240.4bn, and RWA decreased by USD 0.8bn to USD 25.2bn, primarily driven by a decrease in Lombard loans in Global Wealth Management.
›Refer to the “CR8: RWA flow statements of credit risk exposures under IRB” table in this section for further details about the
movement of credit risk exposures under the A-IRB approach for the fourth quarter of 2023

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 30

Credit risk exposures by portfolio and PD range

CR6: IRB – Credit risk exposures by portfolio and PD range Original on-Off-balanceTotalNumber ofAverage balance sheetsheet exposuresexposuresAverage CCFEAD post-CCFAverage PDobligors (inAverage LGDmaturity inRWA density USD m, except where indicatedgross exposurepre-CCFpre-CCFin %and post-CRMin %thousands)1in %4years4RWAin %ELProvisions2| Central governments and central banks as of 31.12.23 | | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 0.00 to <0.15 | | 278,625 | 681279,306 | | 52.5 | 280,410 | 0.0 | <0.1 | 30.0 | 1.03,823 | 1.4 | 6 |
| 0.15 to <0.25 | | 462 | 0 | 462 | 0.0 | 462 | 0.2 | <0.1 | 51.2 | 1.0147 | 31.9 | 0 |
| 0.25 to <0.50 | | 202 | 0 | 202 | 10.1 | 189 | 0.4 | <0.1 | 53.0 | 1.0104 | 54.9 | 0 |
| 0.50 to <0.75 | | 44 | 0 | 44 | 13.1 | 4 | 0.6 | <0.1 | 34.8 | 2.1 | 253.2 | 0 |
| 0.75 to <2.50 | | 112 | 5 | 117 | 46.8 | 9 | 1.3 | <0.1 | 24.7 | 3.9 | 887.2 | 0 |
| 2.50 to <10.00 | | 429 | 174 | 603 | 37.9 | 70 | 4.5 | <0.1 | 55.1 | 2.2136 | 195.1 | 2 |
| 10.00 to <100.00 | | 289 | 104 | 394 | 35.0 | 95 | 28.1 | <0.1 | 70.5 | 1.0370 | 390.7 | 19 |
| 100.00 (default) | 3 | 134 | 0 | 134 | 10.1 | 126 | 100.0 | <0.1 | | 133 | 106.0 | 6 |
| Subtotal | | 280,298 | 963281,262 | | 47.9 | 281,365 | 0.1 | 0.1 | 30.0 | 1.04,724 | 1.7 | 3333 |

Central governments and central banks as of 30.6.23
0.00 to <0.15		256,575	601257,175		54.9	252,259	0.0	<0.1	30.0	1.13,492	1.4	8
0.15 to <0.25		443	81	525	35.0	472	0.2	<0.1	50.2	1.2158	33.4	0
0.25 to <0.50		109	0	109	9.8	64	0.4	<0.1	53.5	1.844	68.7	0
0.50 to <0.75		66	0	66	12.8	8	0.6	<0.1	44.6	1.7	564.8	0
0.75 to <2.50		101	17	118	51.2	5	1.2	<0.1	17.2	3.8	481.5	0
2.50 to <10.00		602	229	830	35.9	75	5.1	<0.1	50.9	2.9140	187.9	2
10.00 to <100.00		240	71	310	35.0	111	28.1	<0.1	62.0	1.0380	343.7	19
100.00 (default)	3	426	0	426	9.8	227	100.0	<0.1		241	106.0	5
Subtotal		258,561	999259,560		47.4	253,222	0.1	0.2	30.1	1.14,463	1.8	3517

Central governments and central banks as of 31.12.22
0.00 to <0.15	214,433	2214,435		40.3	216,920	0.0	<0.1	32.4	1.12,921	1.3	9
0.15 to <0.25	810	0	810	0.0	729	0.2	<0.1	43.7	1.0196	26.9	1
0.25 to <0.50
0.50 to <0.75	57	0	57	12.6	3	0.5	<0.1	17.0	3.3	132.0	0
0.75 to <2.50	73	36	109	42.3	4	1.5	<0.1	34.9	3.6	5130.5	0
2.50 to <10.00	262	285	547	36.0	21	5.7	<0.1	46.8	2.036	166.8	1
10.00 to <100.00	56	70	125	35.0	56	28.0	<0.1	75.0	1.0232	415.8	12
100.00 (default)	10	0	10	10.2	2	100.0	<0.1			2106.0	5
Subtotal	215,700	393216,093		36.4	217,735	0.0	0.1	32.4	1.13,393	1.6	27	5

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 31

CR6: IRB – Credit risk exposures by portfolio and PD range (continued) Original on-Off-balanceTotalNumber ofAverage balance sheetsheet exposuresexposuresAverage CCFEAD post-CCFAverage PDobligors (inAverage LGDmaturity inRWA density USD m, except where indicatedgross exposurepre-CCFpre-CCFin %and post-CRMin %thousands)1in %4years4RWAin %ELProvisions2| 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 | 0.92,572 | 19.6 | 4 | |
| 0.15 to <0.25 | | 720 | 527 | 1,247 | 39.6 | 947 | 0.2 | 0.3 | 59.7 | 1.5549 | 57.9 | 1 | |
| 0.25 to <0.50 | | 664 | 354 | 1,018 | 44.9 | 738 | 0.4 | 0.2 | 65.6 | 0.8613 | 83.1 | 2 | |
| 0.50 to <0.75 | | 103 | 198 | 301 | 44.2 | 191 | 0.6 | 0.1 | 48.0 | 1.3166 | 86.9 | 1 | |
| 0.75 to <2.50 | | 593 | 519 | 1,112 | 45.0 | 745 | 1.6 | 0.2 | 54.6 | 1.1977 | 131.1 | 6 | |
| 2.50 to <10.00 | | 977 | 436 | 1,413 | 42.8 | 645 | 6.3 | 0.2 | 72.8 | 1.01,861 | 288.6 | 30 | |
| 10.00 to <100.00 | | 114 | 6 | 120 | 32.9 | 28 | 23.8 | <0.1 | 49.4 | 0.783 | 291.2 | 3 | |
| 100.00 (default) | 3 | 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 | 1.06,921 | 41.9 | 48 | 3 |

Banks and securities dealers as of 30.6.23
0.00 to <0.15		12,878	1,829	14,707	55.7	15,679	0.1	1.9	52.0	0.92,439	15.6	5
0.15 to <0.25		679	469	1,148	38.3	872	0.2	0.3	60.0	1.6538	61.7	1
0.25 to <0.50		844	346	1,189	43.1	810	0.4	0.2	60.6	1.0628	77.6	2
0.50 to <0.75		64	225	289	44.5	162	0.6	0.1	48.9	1.1140	86.7	0
0.75 to <2.50		905	969	1,874	68.2	1,439	1.5	0.2	50.9	2.02,012	139.8	11
2.50 to <10.00		1,175	552	1,726	42.9	765	5.5	0.2	68.4	1.01,960	256.2	30
10.00 to <100.00		116	31	147	45.9	30	13.4	<0.1	67.8	1.0108	359.0	3
100.00 (default)	3	51	0	51	0.0	51	100.0	<0.1		54	106.0
Subtotal		16,710	4,421	21,131	53.3	19,807	0.7	3.1	53.3	1.07,879	39.8	51	5

Banks and securities dealers as of 31.12.22
0.00 to <0.15	6,182	1,248	7,429	47.2	7,282	0.1	0.5	53.6	1.11,684	23.1	3
0.15 to <0.25	712	380	1,092	37.3	920	0.2	0.4	56.2	1.6514	55.9	2
0.25 to <0.50	308	411	719	43.0	455	0.4	0.2	64.5	1.1387	85.1	1
0.50 to <0.75	113	121	235	51.1	167	0.6	0.1	52.1	1.1157	93.9	1
0.75 to <2.50	500	1,175	1,675	79.0	1,336	1.6	0.2	47.5	3.22,088	156.3	10
2.50 to <10.00	797	580	1,378	43.2	655	4.6	0.2	64.7	1.01,533	234.1	20
10.00 to <100.00	150	45	195	42.4	66	16.2	<0.1	68.2	2.1263	398.4	7
100.00 (default)
Subtotal	8,761	3,961	12,722	54.7	10,881	0.7	1.6	54.3	1.46,626	60.9	4413

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 32

CR6: IRB – Credit risk exposures by portfolio and PD range (continued) Original on-Off-balanceTotalNumber ofAverage balance sheetsheet exposuresexposuresAverage CCFEAD post-CCFAverage PDobligors (inAverage LGDmaturity inRWA density USD m, except where indicatedgross exposurepre-CCFpre-CCFin %and post-CRMin %thousands)1in %4years4RWAin %ELProvisions2| 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 | 1.2378 | 5.5 | 1 |
| 0.15 to <0.25 | | 373 | 970 | 1,343 | 19.3 | 568 | 0.2 | 0.2 | 28.8 | 2.2131 | 23.1 | 0 |
| 0.25 to <0.50 | | 803 | 417 | 1,220 | 21.3 | 871 | 0.3 | 0.2 | 26.4 | 2.3273 | 31.3 | 1 |
| 0.50 to <0.75 | | 3 | 7 | 10 | 43.2 | 6 | 0.7 | <0.1 | 36.9 | 1.4 | 457.3 | 0 |
| 0.75 to <2.50 | | 14 | 2 | 16 | 27.0 | 15 | 1.0 | <0.1 | 33.9 | 1.1 | 749.6 | 0 |
| 2.50 to <10.00 | | 67 | 110 | 177 | 45.0 | 118 | 5.2 | <0.1 | 5.5 | 3.926 | 22.2 | 0 |
| 10.00 to <100.00 | | | | | | | | | | | | |
| 100.00 (default) | 3 | | | | | | | | | | | |
| Subtotal | | 7,672 | 3,937 | 11,608 | 13.1 | 8,476 | 0.1 | 0.6 | 33.7 | 1.4819 | 9.7 | 20 |

Public sector entities, multilateral developmental banks as of 30.6.23
0.00 to <0.15		6,561	2,835	9,396	6.9	7,102	0.0	0.2	35.5	1.2424	6.0	0
0.15 to <0.25		340	848	1,188	12.1	449	0.2	0.2	27.2	2.5107	23.7	0
0.25 to <0.50		806	417	1,222	22.4	880	0.3	0.2	27.7	2.3289	32.8	1
0.50 to <0.75		6	4	10	46.5	8	0.7	<0.1	36.4	1.5	455.0	0
0.75 to <2.50		1	1	3	5.9	1	1.2	<0.1	18.6	1.8	180.3	0
2.50 to <10.00		75	111	187	45.0	128	5.2	<0.1	5.5	4.029	22.7	0
10.00 to <100.00
100.00 (default)	3
Subtotal		7,790	4,215	12,005	10.5	8,567	0.1	0.6	33.8	1.4853	10.0	30

Public sector entities, multilateral developmental banks as of 31.12.22
0.00 to <0.15	7,067	614	7,682	18.7	7,263	0.0	0.2	37.9	1.1417	5.7	1
0.15 to <0.25	405	565	970	25.2	553	0.2	0.2	25.6	2.2118	21.4	0
0.25 to <0.50	741	403	1,144	22.7	827	0.3	0.2	27.2	2.2244	29.4	1
0.50 to <0.75	3	1	3	16.0	2	0.6	<0.1	11.2	1.8	014.9	0
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	8,217	1,583	9,800	22.0	8,646	0.1	0.6	36.1	1.2779	9.0	20

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 33

CR6: IRB – Credit risk exposures by portfolio and PD range (continued) Original on-Off-balanceTotalNumber ofAverage balance sheetsheet exposuresexposuresAverage CCFEAD post-CCFAverage PDobligors (inAverage LGDmaturity inRWA density USD m, except where indicatedgross exposurepre-CCFpre-CCFin %and post-CRMin %thousands)1in %4years4RWAin %ELProvisions2| 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 | 2.52,165 | 15.6 | 2 |
| 0.15 to <0.25 | | 5,813 | 1,951 | 7,764 | 48.1 | 6,584 | 0.2 | 0.7 | 22.5 | 2.51,820 | 27.6 | 3 |
| 0.25 to <0.50 | | 10,479 | 4,727 | 15,206 | 32.8 | 11,852 | 0.4 | 1.5 | 24.8 | 2.14,700 | 39.7 | 10 |
| 0.50 to <0.75 | | 7,470 | 5,392 | 12,862 | 32.0 | 9,117 | 0.6 | 0.9 | 22.1 | 1.73,597 | 39.5 | 12 |
| 0.75 to <2.50 | | 17,064 | 4,644 | 21,708 | 34.7 | 18,664 | 1.3 | 2.0 | 24.6 | 2.111,856 | 63.5 | 62 |
| 2.50 to <10.00 | | 2,381 | 435 | 2,816 | 51.3 | 2,604 | 3.4 | 0.4 | 30.8 | 1.52,956 | 113.5 | 26 |
| 10.00 to <100.00 | | 20 | 13 | 33 | 14.3 | 22 | 14.6 | <0.1 | 30.7 | 1.638 | 173.8 | 1 |
| 100.00 (default) | 3 | 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 | 2.127,362 | 43.5 | 244140 |

Corporates: specialized lending as of 30.6.23
0.00 to <0.15		11,318	3,888	15,207	53.9	13,936	0.1	1.4	18.8	2.32,394	17.2	2
0.15 to <0.25		5,585	2,430	8,015	44.0	6,667	0.2	0.7	21.9	2.51,754	26.3	2
0.25 to <0.50		8,672	4,905	13,577	31.6	10,333	0.3	1.5	23.1	2.24,130	40.0	8
0.50 to <0.75		8,088	5,145	13,232	29.7	9,596	0.6	1.0	24.1	1.84,692	48.9	14
0.75 to <2.50		15,959	4,969	20,927	34.0	17,861	1.3	2.1	24.3	2.111,223	62.8	59
2.50 to <10.00		2,432	550	2,983	51.4	2,717	3.3	0.4	32.1	1.52,918	107.4	29
10.00 to <100.00		10	0	10		10	17.5	<0.1	24.5	1.116	158.5	0
100.00 (default)	3	232	14	245	57.5	148	100.0	<0.1		157	106.0	118
Subtotal		52,295	21,902	74,197	37.5	61,267	1.0	7.2	22.9	2.127,282	44.5	233133

Corporates: specialized lending as of 31.12.22
0.00 to <0.15	4,143	1,017	5,160	68.1	4,835	0.1	0.5	13.6	2.0330	6.8	0
0.15 to <0.25	2,597	986	3,583	50.3	2,916	0.2	0.3	23.0	2.1630	21.6	1
0.25 to <0.50	4,361	2,534	6,895	33.0	5,178	0.4	0.6	27.4	1.92,043	39.5	5
0.50 to <0.75	3,712	2,299	6,011	35.4	4,464	0.6	0.5	26.0	1.82,036	45.6	7
0.75 to <2.50	8,550	3,017	11,567	28.6	9,360	1.3	1.3	27.6	1.85,875	62.8	35
2.50 to <10.00	1,810	423	2,233	55.4	2,046	3.3	0.3	35.0	1.62,177	106.4	23
10.00 to <100.00	1	0	1	0.0	1	11.0	<0.1	36.0	2.5	1169.2	0
100.00 (default)	151	2	153	70.9	50	100.0	<0.1		53	106.0	104
Subtotal	25,324	10,278	35,602	38.3	28,850	1.0	3.6	25.0	1.913,145	45.6	176119

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 34

CR6: IRB – Credit risk exposures by portfolio and PD range (continued) Original on-Off-balanceTotalNumber ofAverage balance sheetsheet exposuresexposuresAverage CCFEAD post-CCFAverage PDobligors (inAverage LGDmaturity inRWA density USD m, except where indicatedgross exposurepre-CCFpre-CCFin %and post-CRMin %thousands)1in %4years4RWAin %ELProvisions2| 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 | 2.08,492 | 20.7 | 9 |
| 0.15 to <0.25 | | 10,935 | 24,194 | 35,129 | 29.4 | 18,419 | 0.2 | 3.9 | 41.2 | 2.17,739 | 42.0 | 17 |
| 0.25 to <0.50 | | 10,269 | 14,260 | 24,529 | 35.0 | 15,320 | 0.4 | 5.0 | 41.1 | 2.29,538 | 62.3 | 23 |
| 0.50 to <0.75 | | 6,293 | 8,342 | 14,635 | 36.9 | 9,564 | 0.6 | 4.3 | 33.1 | 2.25,544 | 58.0 | 20 |
| 0.75 to <2.50 | | 18,439 | 13,837 | 32,276 | 38.8 | 23,286 | 1.4 | 11.5 | 33.8 | 2.217,947 | 77.1 | 112 |
| 2.50 to <10.00 | | 10,464 | 17,641 | 28,104 | 45.3 | 16,964 | 5.0 | 6.1 | 33.4 | 2.321,600 | 127.3 | 285 |
| 10.00 to <100.00 | | 753 | 855 | 1,609 | 53.9 | 1,240 | 17.2 | 0.3 | 20.7 | 2.91,600 | 129.1 | 52 |
| 100.00 (default) | 3 | 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 | 2.275,884 | 58.81,231 | 1,380 |

Corporates: other lending as of 30.6.23
0.00 to <0.15		28,324	70,388	98,712	26.4	48,019	0.1	12.5	39.8	2.010,311	21.5	11
0.15 to <0.25		11,440	25,620	37,059	30.6	18,978	0.2	4.3	43.6	2.28,726	46.0	18
0.25 to <0.50		11,035	15,284	26,319	34.4	15,881	0.4	5.3	39.2	2.29,279	58.4	22
0.50 to <0.75		7,482	8,965	16,446	37.9	10,559	0.6	4.7	35.5	2.27,306	69.2	24
0.75 to <2.50		20,213	15,684	35,897	39.7	24,805	1.5	13.0	34.2	2.320,245	81.6	123
2.50 to <10.00		12,306	17,986	30,291	46.3	17,816	5.1	6.8	34.1	2.523,901	134.2	312
10.00 to <100.00		972	717	1,688	56.7	1,165	17.6	0.4	22.9	2.61,699	145.8	51
100.00 (default)	3	3,331	745	4,077	46.3	2,855	100.0	1.8		3,026	106.0	334
Subtotal		95,100	155,389	250,490	32.4	140,078	3.2	48.7	38.0	2.284,494	60.3	8951,066

Corporates: other lending as of 31.12.22
0.00 to <0.15	12,395	19,869	32,264	37.5	19,348	0.1	7.3	34.7	1.84,308	22.3	4
0.15 to <0.25	4,102	6,856	10,958	35.6	6,566	0.2	2.3	40.3	2.12,896	44.1	6
0.25 to <0.50	5,956	6,183	12,138	35.2	7,854	0.4	3.0	36.0	2.34,564	58.1	10
0.50 to <0.75	4,809	3,558	8,367	38.7	6,088	0.6	3.0	29.8	2.13,747	61.5	12
0.75 to <2.50	9,866	8,132	17,998	39.9	12,159	1.4	10.7	29.0	2.18,305	68.3	50
2.50 to <10.00	5,679	9,191	14,870	41.7	8,421	4.4	5.0	33.0	2.412,546	149.0	123
10.00 to <100.00	327	442	770	57.8	462	15.0	0.2	23.9	1.9869	187.9	17
100.00 (default)	1,023	250	1,272	39.6	726	100.0	0.8		769	106.0	325
Subtotal	44,157	54,480	98,637	38.3	61,625	2.3	32.4	33.5	2.138,003	61.7	546575

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 35

CR6: IRB – Credit risk exposures by portfolio and PD range (continued) Original on-Off-balanceTotalNumber ofAverage balance sheetsheet exposuresexposuresAverage CCFEAD post-CCFAverage PDobligors (inAverage LGDmaturity inRWA density USD m, except where indicatedgross exposurepre-CCFpre-CCFin %and post-CRMin %thousands)1in %4years4RWAin %ELProvisions2| 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) | 3 | 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 | 506261 |

Retail: residential mortgages as of 30.6.23
0.00 to <0.15		114,036	2,575	116,612	49.8	117,265	0.1	185.0	17.8	6,305	5.4	18
0.15 to <0.25		50,067	1,398	51,465	56.1	52,408	0.2	57.6	18.9	6,202	11.8	18
0.25 to <0.50		62,771	1,909	64,680	54.9	65,630	0.3	74.9	20.3	12,682	19.3	45
0.50 to <0.75		19,209	607	19,815	73.7	19,747	0.6	18.3	28.7	5,923	30.0	35
0.75 to <2.50		28,775	2,742	31,517	59.7	30,533	1.3	31.2	31.5	16,162	52.9	129
2.50 to <10.00		9,048	373	9,421	78.1	9,355	4.4	9.4	32.5	9,769	104.4	132
10.00 to <100.00		1,124	24	1,148	94.5	1,152	15.2	1.0	31.1	1,970	171.1	54
100.00 (default)	3	892	13	905	68.3	964	100.0	1.2		1,021	106.0	27
Subtotal		285,923	9,640	295,562	57.3	297,054	0.8	378.5	21.2	60,034	20.2	459225

Retail: residential mortgages as of 31.12.22
0.00 to <0.15	76,314	1,358	77,672	53.1	77,043	0.1	139.0	18.9	3,230	4.2	13
0.15 to <0.25	20,092	271	20,363	75.3	20,291	0.2	22.9	25.5	2,076	10.2	10
0.25 to <0.50	26,641	489	27,130	76.6	26,994	0.4	29.3	27.5	4,770	17.7	26
0.50 to <0.75	16,731	351	17,081	82.5	17,021	0.6	14.6	30.5	5,054	29.7	33
0.75 to <2.50	23,178	1,390	24,568	78.9	24,273	1.3	26.2	33.8	12,966	53.4	109
2.50 to <10.00	7,506	333	7,838	82.7	7,784	4.4	8.4	33.6	8,217	105.6	113
10.00 to <100.00	916	20	936	97.1	936	15.1	0.9	31.4	1,598	170.8	44
100.00 (default)	503	1	504	77.4	478	100.0	0.7		506	106.0	26
Subtotal	171,880	4,212	176,092	70.7	174,820	0.9	242.0	24.9	38,417	22.0	374186

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 36

CR6: IRB – Credit risk exposures by portfolio and PD range (continued) Original on-Off-balanceTotalNumber ofAverage balance sheetsheet exposuresexposuresAverage CCFEAD post-CCFAverage PDobligors (inAverage LGDmaturity inRWA density USD m, except where indicatedgross exposurepre-CCFpre-CCFin %and post-CRMin %thousands)1in %4years4RWAin %ELProvisions2| Retail: qualifying revolving retail exposures (QRRE) as of 31.12.23 | | 5 | | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 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) | 3 | | 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 | 5639 |

Retail: qualifying revolving retail exposures (QRRE) as of 30.6.23
0.00 to <0.15		264	3,739	4,003	53.1	2,249	0.0	457.4	37.5	48	2.1	0
0.15 to <0.25		140	1,417	1,557	49.4	840	0.2	203.4	41.8	56	6.7	1
0.25 to <0.50		175	629	804	50.9	495	0.4	97.4	45.5	65	13.1	1
0.50 to <0.75		151	352	503	49.7	326	0.6	69.7	46.8	70	21.5	1
0.75 to <2.50		836	750	1,586	56.0	1,279	1.3	700.5	49.3	470	36.7	8
2.50 to <10.00		382	236	618	21.0	391	4.2	85.0	49.8	358	91.7	8
10.00 to <100.00		69	10	79	56.0	74	19.3	16.0	56.3	183	246.9	8
100.00 (default)	3	52	0	52	0.0	31	100.0	26.5		33	106.0	21
Subtotal		2,069	7,133	9,202	51.2	5,685	1.5	1,655.9	43.1	1,284	22.6	4834

Retail: qualifying revolving retail exposures (QRRE) as of 31.12.22
0.00 to <0.15	245	3,628	3,873	53.0	2,169	0.0	457.1	37.4	46	2.1	0
0.15 to <0.25	131	1,368	1,499	49.3	805	0.2	201.6	41.9	55	6.8	1
0.25 to <0.50	163	595	758	51.1	467	0.4	95.6	45.6	62	13.3	1
0.50 to <0.75	144	342	486	49.9	315	0.6	70.2	46.8	69	21.8	1
0.75 to <2.50	362	706	1,069	58.0	720	1.4	143.7	49.1	295	41.0	5
2.50 to <10.00	297	258	555	18.3	291	4.6	81.7	52.0	312	107.3	7
10.00 to <100.00	61	10	70	56.0	66	19.3	14.7	56.2	164	249.0	7
100.00 (default)	47	0	47	0.0	28	100.0	25.9		30	106.0	19
Subtotal	1,450	6,907	8,357	51.2	4,861	1.4	1,090.5	42.4	1,033	21.3	4032

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 37

CR6: IRB – Credit risk exposures by portfolio and PD range (continued) Original on-Off-balanceTotalNumber ofAverage balance sheetsheet exposuresexposuresAverage CCFEAD post-CCFAverage PDobligors (inAverage LGDmaturity inRWA density USD m, except where indicatedgross exposurepre-CCFpre-CCFin %and post-CRMin %thousands)1in %4years4RWAin %ELProvisions2| 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) | 3 | 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 |

Retail: other retail as of 30.6.23
0.00 to <0.15		142,154	417,291	559,447	15.4	206,676	0.0	512.1	35.5	11,234	5.4	29
0.15 to <0.25		7,399	11,685	19,084	17.8	9,510	0.2	13.0	33.6	1,430	15.0	5
0.25 to <0.50		7,833	13,741	21,574	18.2	10,339	0.4	15.7	28.5	2,198	21.3	11
0.50 to <0.75		6,201	12,199	18,401	20.1	8,658	0.6	16.3	26.3	2,390	27.6	14
0.75 to <2.50		7,477	10,958	18,435	21.6	9,852	1.4	113.1	37.7	5,087	51.6	50
2.50 to <10.00		3,780	1,038	4,819	24.4	4,035	5.1	90.6	47.0	3,218	79.8	96
10.00 to <100.00		120	76	196	25.1	139	17.6	1.0	30.9	117	84.0	8
100.00 (default)	3	299	8	306	6.9	299	100.0	5.3		317	106.0	15
Subtotal		175,263	466,997	642,260	15.8	249,508	0.3	767.1	35.1	25,993	10.4	230	34

Retail: other retail as of 31.12.22
0.00 to <0.15	112,246	293,242	405,488	18.2	165,459	0.0	476.9	29.2	8,095	4.9	20
0.15 to <0.25	4,477	8,336	12,814	20.9	6,215	0.2	11.4	27.7	808	13.0	3
0.25 to <0.50	7,096	11,982	19,078	19.1	9,379	0.4	14.4	28.1	1,982	21.1	9
0.50 to <0.75	6,982	13,524	20,506	20.5	9,752	0.6	18.8	23.8	2,424	24.9	15
0.75 to <2.50	6,607	8,983	15,590	22.3	8,608	1.1	34.4	39.7	4,692	54.5	37
2.50 to <10.00	1,029	891	1,920	17.0	1,179	4.5	3.2	63.4	1,413	119.9	38
10.00 to <100.00	62	43	105	28.4	74	19.9	1.0	27.5	59	79.2	4
100.00 (default)	92	1	93	71.0	82	100.0	<0.1		87	106.0	10
Subtotal	138,592	337,003	475,595	18.5	200,748	0.2	560.2	29.5	19,561	9.7	137	27

Total 31.12.23	906,357	671,503	1,577,860	21.21,057,823		0.9	2,935.1	29.5	1.5206,895	19.62,400	1,889
Total 30.6.23	893,712	670,695	1,564,408	21.61,035,187		0.9	2,861.2	29.9	1.5212,282	20.51,953	1,514
Total 31.12.22	614,082	418,816	1,032,899	23.0	708,165	0.6	1,930.9	30.0	1.3120,958	17.11,345	957

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 38

Credit derivatives used as CRM techniques
Semi-annual |Where credit derivatives are used as credit risk mitigation, the PD of the obligor is in general substituted with

the PD of the hedge provider. In addition, default correlation between the obligor and the hedge provider is taken into account through the double default approach. The impact of credit derivatives used as CRM techniques on advanced internal ratings-based (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, in line with FINMA Circular 2016/1, General principles of disclosure.p ›Refer to the “CCR6: Credit derivatives exposures” table in the “Counterparty credit risk” section of this report for notional and fair

value information about credit derivatives used as CRM

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

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

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

ReferenceDescriptionDefinition

2Asset sizeMovements arising in the ordinary course of business, such as new transactions, sales and write-offs.

3Asset quality / CreditMovements resulting from changes in the underlying credit quality of counterparties. These are caused quality of counterpartiesby changes to risk parameters, e.g., counterparty ratings, LGD estimates or credit hedges.

4Model updatesMovements 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.

5Methodology and policyMovements 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.

6Acquisitions and disposalsMovements 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 underAsset size.

7Foreign exchangeMovements as a result of exchange rate changes of transaction currencies against the US dollar.

movements

8OtherMovements due to changes that cannot be attributed to any other category.

RWA flow statements of credit risk exposures under the A-IRB approach
Quarterly |Credit risk RWA under the A-IRB approach increased by USD 0.2bn to USD 210.0bn during the fourth quarter of 2023. This balance includes credit risk under the A-IRB approach, as well as credit risk under the supervisory slotting approach.

Currency effects, driven by the weakening of the US dollar against other major currencies, resulted in an RWA increase of USD 11.0bn.

Movements in asset quality, including changes in risk density across the overall portfolio, decreased RWA by USD 9.7bn, mainly due to an improvement across the lending portfolios in the Global Wealth Management and Personal & Corporate Banking, driven by the active reduction of higher risk density exposures, as well as due to actions to actively unwind the Non-core and Legacy portfolio.

Movements in asset size increased RWA by USD 0.3bn, mainly due to an increase in mortgage loans, primarily in Global Wealth Management, as well as higher balances with central banks. This was partly offset by a reduction in loans and loan commitments to corporates in Non-core and Legacy.

Model updates decreased RWA by USD 1.4bn, primarily driven by RWA decreases of USD 1.7bn related to the recalibration of certain multipliers as a result of improvements to models.

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 39

CR8: RWA flow statements of credit risk exposures under IRB
USD m	ended 31.12.23For the quarter	For the quarterended 30.9.23	For the quarterended 30.6.23	For the quarterended 31.3.23
1RWA as of the beginning of the quarter	209,775	215,714	121,417	120,958
2Asset size	262	(3,229)	2,042	(4,920)
3Asset quality	(9,651)	489	(2,320)	3,339
4Model updates	(1,369)	974	933	1,346
5Methodology and policy
5aof which: regulatory add-ons
6Acquisitions and disposals			92,486
6aof which: acquisition of the Credit Suisse Group			92,486
6bof which: other
7Foreign exchange movements	10,981	(3,640)	1,156	694
8Other		(532)
9RWA as of the end of the quarter	209,998	209,775	215,714	121,417

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 40

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 UBS Group. Separate tables

are provided for UBS Group excluding Credit Suisse and for Credit Suisse. Refer to the “Key features of our main credit risk models” table under “Credit risk models” in the “Risk management and control” section of the UBS Group Annual Report 2023, available under “Annual reporting” atubs.com/investors, for more information. 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. More information about backtesting of credit models is provided under “Backtesting” in the “Risk management and control” section of the UBS Group Annual Report 2023, available under “Annual reporting” atubs.com/investors.

CR9: IRB – Backtesting of probability of default (PD) per portfolio
UBS Group excluding Credit Suisse1
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| 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 |

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

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 41

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse1
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| 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 |

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

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 42

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse1
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| 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 |

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

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 43

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse1
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| 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 |

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

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 44

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse1
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| 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 |

Corporates: other lending as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	7.0	6.9	19	2	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	2.3	2.3	9	1	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	3.0	3.0	8	1	0.2
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	2.8	2.9	8	1	0.3
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.5	1.5	10.8	10.5	116	48	0.7
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.3	4.1	5.5	5.0	150	17	2.1
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	13.4	16.8	0.3	0.2	49	3	12.3
Subtotal				2.7	1.5	31.6	30.8	359	73	0.3

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 45

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse1
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| 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 |

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

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 46

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse1
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| 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 |

Retail: qualifying revolving retail exposure as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.0	0.0	458.1	457.1	180	1	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	208.5	201.6	215	0	0.2
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.3	97.3	95.6	207	13	0.3
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	70.2	70.2	332	25	0.4
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.4	1.3	138.9	143.7	1,209	148	1.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.2	4.1	77.7	81.7	2,510	162	3.5
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	19.1	19.3	13.3	14.7	3,742	696	24.9
Subtotal				1.3	0.8	1,064.0	1,064.6	8,395	1,045	0.7

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 47

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
UBS Group excluding Credit Suisse1
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| 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 |

Retail: other retail as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.0	0.0	499.1	476.9	89	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	9.3	11.4	5	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.3	10.5	14.4	18	1	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	11.3	18.8	26	2	0.0
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.2	1.1	45.3	34.4	56	4	0.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.4	3.6	3.5	3.2	31	0	0.1
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	20.7	20.7	1.0	1.0	56	2	0.4
Subtotal				0.1	0.2	579.9	560.2	281	9	0.0

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 48

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Credit Suisse2
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| Central governments and central banks as of 31.12.22 | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.0 | 0.0 | <0.1 | <0.1 | 0 | 0 | 0.0 |
| 0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 | <0.1 | <0.1 | 0 | 0 | 0.0 |
| 0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 | <0.1 | <0.1 | 1 | 0 | 0.5 |
| 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– | 1.1 | 1.0 | <0.1 | <0.1 | 0 | 0 | 0.0 |
| 2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 6.0 | 6.2 | <0.1 | <0.1 | 1 | 0 | 1.2 |
| 10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 28.2 | 28.2 | <0.1 | <0.1 | 0 | 0 | 13.2 |
| Subtotal | | | | 0.1 | 3.2 | 0.1 | 0.1 | 2 | 0 | 0.6 |

Banks and securities dealers as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	1.6	1.5	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	0.1
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	0.1	0.1	5	0.5
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	<0.1	<0.1	2	0.4
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.6	1.5	0.1	0.1	3	0.3
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.8	5.0	0.2	0.2	2	0.6
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	18.0	20.4	<0.1	<0.1	0	2.1
Subtotal				0.3	0.6	2.1	1.9	12	0.2

Public-sector entities, multi-lateral development banks as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	<0.1	<0.1	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
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	<0.1	<0.1	0.0
0.50 to <0.75	Ba1	BB+	BB+	0.7	0.7	<0.1	<0.1	0.1
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.1	1.1	<0.1	0.0	0.0
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.7	5.5	<0.1	<0.1	0.0
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C			0.0	<0.1
Subtotal				1.7	0.6	0.1	0.1	0.0

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 49

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Credit Suisse2
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| Corporates: specialized lending as of 31.12.22 | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | 0.1 | 0.1 | 0.8 | 0.8 | 0 | 0 | 0.0 |
| 0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | 0.2 | 0.2 | 0.7 | 0.7 | 0 | 0 | 0.0 |
| 0.25 to <0.50 | Baa3 | BBB– | BBB– | 0.4 | 0.4 | 0.4 | 0.5 | 0 | 0 | 0.0 |
| 0.50 to <0.75 | Ba1 | BB+ | BB+ | 0.6 | 0.6 | 0.3 | 0.3 | 1 | 0 | 0.2 |
| 0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.4 | 1.3 | 0.6 | 0.6 | 1 | 0 | 0.4 |
| 2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | 3.7 | 3.7 | 0.1 | 0.1 | 1 | 0 | 4.3 |
| 10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | 14.7 | 14.7 | <0.1 | 0.0 | 0 | 0 | 18.2 |
| Subtotal | | | | 0.8 | 0.6 | 3.0 | 2.8 | 3 | 0 | 0.4 |

Corporates: other lending as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	2.7	2.8	0	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	1.2	1.3	1	1	0.1
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	1.5	1.5	2	0	0.1
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.7	0.7	0.8	2	0	0.2
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.5	1.4	1.8	1.7	11	0	0.8
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	6.0	5.6	1.6	1.7	33	1	2.0
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	18.0	18.5	0.1	0.1	14	1	13.7
Subtotal				1.6	1.6	9.7	9.8	63	3	0.7

Retail: residential mortgages as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.1	0.1	43.7	44.2	7	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	38.1	37.7	6	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.3	0.3	51.1	48.2	15	0.1
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.6	6.0	5.2	18	0.2
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.3	1.3	6.0	5.0	25	0.3
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	4.5	4.4	0.7	0.6	19	3.8
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	18.2	17.1	<0.1	<0.1	2	18.2
Subtotal				0.3	0.3	145.8	140.8	92	0.2

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 50

CR9: IRB – Backtesting of probability of default (PD) per portfolio (continued)
Credit Suisse2
External ratingExternal ratingExternal ratingArithmeticNumber of obligors equivalentequivalentequivalentWeightedaverage PD(in thousands)of which: newAverage historical average PDby obligorsEnd of theEnd of theDefaulted obligorsdefaulted obligorsannual default rate PD rangeMoody’sS&PFitchin %in %previous yearyearin the yearin the yearin %| Retail: qualifying revolving retail exposure as of 31.12.22 | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 0.00 to <0.15 | Aaa to A3 | AAA to A– | AAA to AA– | | | 0.0 | 0.0 | 0 | 0 | |
| 0.15 to <0.25 | Baa1 to Baa2 | BBB+ to BBB | BBB+ to BBB | | | 0.0 | 0.0 | 0 | 0 | |
| 0.25 to <0.50 | Baa3 | BBB– | BBB– | | | 0.0 | 0.0 | 0 | 0 | |
| 0.50 to <0.75 | Ba1 | BB+ | BB+ | | | 0.0 | 0.0 | 0 | 0 | |
| 0.75 to <2.50 | Ba2 to Ba3 | BB to BB– | BB to BB– | 1.3 | 1.3 | 745.9 | 563.3 | 3,907 | 0 | 1.0 |
| 2.50 to <10.00 | B1 to B3 | B+ to B– | B+ to B– | | | 0.0 | 0.0 | 0 | 0 | 1.1 |
| 10.00 to <100.00 | Caa1 to C | CCC to C | CCC to C | | | 0.0 | 0.0 | 0 | 0 | |
| Subtotal | | | | 1.3 | 1.3 | 745.9 | 563.3 | 3,907 | 0 | 0.9 |

Retail: other retail as of 31.12.22
0.00 to <0.15	Aaa to A3	AAA to A–	AAA to AA–	0.0	0.0	50.5	47.8	13	0	0.0
0.15 to <0.25	Baa1 to Baa2	BBB+ to BBB	BBB+ to BBB	0.2	0.2	3.9	3.9	0	0	0.0
0.25 to <0.50	Baa3	BBB–	BBB–	0.4	0.4	3.5	3.4	3	0	0.1
0.50 to <0.75	Ba1	BB+	BB+	0.6	0.7	1.3	1.3	0	0	0.1
0.75 to <2.50	Ba2 to Ba3	BB to BB–	BB to BB–	1.6	1.8	96.0	95.3	964	123	1.1
2.50 to <10.00	B1 to B3	B+ to B–	B+ to B–	5.5	5.5	81.8	86.2	2,755	289	3.7
10.00 to <100.00	Caa1 to C	CCC to C	CCC to C	17.9	19.2	0.2	0.3	0	0	0.1
Subtotal				0.4	2.7	237.3	238.3	3,735	412	2.2

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 51

Semi-annual |The table below provides information about specialized lending exposures, subject to the supervisory slotting approach. Exposures related to specialized lending for the UBS Group excluding Credit Suisse are included in the “CR6:
IRB – Credit risk exposures by portfolio and PD range” table in this section.

CR10: Specialized lending On-balance sheetOff-balance sheetRisk weight USD m, except where indicatedamountamountin %Exposure amount1RWAEL| 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 | 1152 | 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| Other than high-volatility commercial real estate | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Regulatory categories and remaining maturity | | | | | | | |
| Strong | Less than 2.5 years | 719 | 63 | 50 | 749 | 397 | 0 |
| | Equal to or more than 2.5 years | 298 | 555 | 70 | 574 | 426 | 2 |
| Good | Less than 2.5 years | 1,296 | 214 | 70 | 1,387 | 1,029 | 6 |
| | Equal to or more than 2.5 years | 591 | 136 | 90 | 640 | 610 | 5 |
| Satisfactory | | 731 | 139 | 1152 | 753 | 918 | 21 |
| Weak | | 7 | 27 | 250 | 20 | 52 | 2 |
| Default | | 165 | 0 | | 165 | 0 | 83 |
| Total | | 3,806 | 1,134 | | 4,287 | 3,432 | 118 |

Regulatory categories and remaining maturity
Default	2	1	1
Total	2	1	1

31 December 2023 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 2023, RWA from equity positions under the simple risk-weight approach decreased by USD 2.0bn to USD 5.5bn, primarily due to a reclassification of investments in associates from the simple risk-weight approach to exposures subject to thresholds for deduction as well as reductions in exposures.

CR10: IRB (equities under the simple risk-weight method) On-balance sheetOff-balance sheetRisk weight USD m, except where indicatedamountamountin %1Exposure amount2RWA1| 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 |

30.6.23
Exchange-traded equity exposures	33	300	33	106
Other equity exposures	1,739	400	1,739	7,371
Total	1,772		1,772	7,477

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

31 December 2023 Pillar 3 Report |UBS Group | Credit risk 53

Counterparty credit risk

Introduction

Semi-annual IThis section provides information about the exposures subject to the Basel III counterparty credit risk (CCR)

framework. CCR arises from over-the-counter (OTC) derivatives and exchange-traded derivatives (ETDs), securities financing transactions (SFTs), and long settlement transactions. We determine the regulatory credit exposure on the majority of our derivatives portfolio by applying the internal model method (EEPE). 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).p

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 2023, available under “Annual reporting” atubs.com/investors.

CCRA: Counterparty credit risk management

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber

Risk management objectives andRisk management and control–Traded products116–117 policies related to counterparty–Credit hedging119 credit risk–Mitigation of settlement risk119

Consolidated financial statements–Note 1a item 2j Hedge accounting310–311 –Note 11 Derivative instruments334–336

The method used to assign theRisk management and control–Risk governance101–103 operating limits defined in terms of–Portfolio and position limits109 internal capacity for counterparty–Credit risk–Overview of measurement, monitoring and111 credit exposures and for CCPmanagement techniques exposures–Credit hedging119 –Credit risk models119–123

Policies relating to guarantees andRisk management and control–Credit risk mitigation118–119
other risk mitigants, andConsolidated financial statements–Note 11 Derivative instruments334–336
counterparty risk assessment–Note 22 Offsetting financial assets and financial liabilities380–381

Policies with respect to wrong-wayRisk management and control–Exposure at default121 risk exposures

The effect on the firm of a creditCapital, liquidity and funding, and–Credit ratings171–172 rating downgrade (i.e., amount ofbalance sheet

collateral that the firm would be required to provide) and the disclosure on rating actions p

31 December 2023 Pillar 3 Report |UBS Group | Counterparty credit risk 54

Counterparty credit risk exposure

Semi-annual IThe CCR1 table below presents the methods used to calculate CCR exposure. Compared with 30 June 2023,

derivative exposures subject to the internal model method decreased by USD 7.7bn, mainly driven by a methodology change resulting in the increased use of the standardized approach for counterparty credit risk in the Non-core and Legacy portfolio along with market-driven movements, mainly in the Investment Bank. SFT exposures under the comprehensive approach decreased by USD 4.7bn, primarily due to lower levels of client activity in the Investment Bank, as well as the increased use of the repo VaR model.

CCR1: Analysis of counterparty credit risk (CCR) exposure by approach Alpha used for Potential futurecomputingEAD USD m, except where indicatedReplacement costexposureEEPEregulatory EADpost-CRMRWA| 31.12.23 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| 1SA-CCR (for derivatives) | 6,441 | 7,475 | | 1.4 | 19,482 | 8,525 |
| 2Internal model method (for derivatives) | | | 30,579 | 1.61 | 48,891 | 16,460 |
| 3Simple approach for credit risk mitigation (for SFTs) | | | | | | |
| 4Comprehensive approach for credit risk mitigation (for SFTs) | | | | | 14,148 | 3,355 |
| 5VaR (for SFTs) | | | | | 42,916 | 10,884 |
| 6Total | | | | | 125,437 | 39,224 |

30.6.23
1SA-CCR (for derivatives)	4,274	8,250		1.4	17,533	7,495
2Internal model method (for derivatives)			35,432	1.61	56,609	19,761
3Simple approach for credit risk mitigation (for SFTs)
4Comprehensive approach for credit risk mitigation (for SFTs)					18,859	4,463
5VaR (for SFTs)					41,840	8,314
6Total					134,841	40,033

31.12.22
1SA-CCR (for derivatives)	3,843	5,073		1.4	12,483	5,326
2Internal model method (for derivatives)			27,400	1.61	43,840	16,066
3Simple approach for credit risk mitigation (for SFTs)
4Comprehensive approach for credit risk mitigation (for SFTs)					14,311	3,959
5VaR (for SFTs)					37,754	9,273
6Total					108,387	34,624

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 2023, CVA risk-weighted assets (RWA) decreased by USD 0.5bn to USD 8.8bn. In the fourth quarter of 2023, USD 4.9bn of exposure at default (EAD) on derivatives subject to the standardized approach for counterparty credit risk and USD 1.3bn of RWA were reclassified from advanced CVA to standardized CVA, better aligning the CVA capital treatment across the Group. The RWA impact will be phased in over the fourth quarter of 2023 and the first quarter of 2024.| CCR2: Credit valuation adjustment (CVA) capital charge | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| | 31.12.23 | | 30.6.23 | | 31.12.22 | |
| USD m | EAD post-CRM | RWAEAD post-CRM | | RWAEAD post-CRM | | RWA |
| Total portfolios subject to the advanced CVA capital charge | 49,216 | 4,904 | 58,493 | 6,246 | 42,687 | 1,526 |
| 1(i) VaR component (including the 3× multiplier) | | 630 | | 1,254 | | 208 |
| 2(ii) Stressed VaR component (including the 3× multiplier) | | 4,274 | | 4,992 | | 1,317 |
| 3All portfolios subject to the standardized CVA capital charge | 17,700 | 3,904 | 13,694 | 3,089 | 12,176 | 2,784 |
| 4Total subject to the CVA capital charge | 66,916 | 8,808 | 72,187 | 9,335 | 54,863 | 4,310 |

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. Our CCR exposures subject to standardized risk weights amounted to USD 8.1bn.
›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 counterparty credit risk exposures subject to A-IRB risk weights and central

counterparties, respectively p

31 December 2023 Pillar 3 Report |UBS Group | Counterparty credit risk 55

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 2023, EAD decreased by USD 7.1bn to USD 117.3bn across the various asset classes, and RWA remained unchanged at USD 36.2bn.

In the Central governments and central banks asset class, EAD increased by USD 3.0bn to USD 12.8bn, mainly as a result of increased exposures in SFTs in Group Items, predominantly reflecting net new excess cash reinvestment trades. RWA slightly decreased to USD 0.7bn.

In the Banks and securities dealers asset class, EAD decreased by USD 0.9bn to USD 31.2bn, and RWA decreased by USD 0.1bn to USD 8.7bn, primarily driven by lower derivative exposures in Group Items.

In the Public-sector entities and multi-lateral development banks asset class, EAD increased by USD 0.4bn to USD 1.0bn, mainly due to an increase in derivative exposures in the Investment Bank. RWA remained unchanged at USD 0.1bn.

In the Corporates: including specialized lending asset class, EAD decreased by USD 8.7bn to USD 64.2bn, primarily due to exposure decreases in SFTs and foreign exchange derivatives in the Investment Bank. RWA increased by USD 0.1bn to USD 25.7bn.

In the Retail: other retail asset class, EAD decreased by USD 0.8bn to USD 8.1bn, and RWA decreased by USD 0.1bn to USD 0.9bn, mainly due to a decrease in derivative exposures in Personal & Corporate Banking.
›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

Average PDNumber of obligorsAverage LGDAverage maturityRWA density USD m, except where indicatedEAD post-CRMin %(in thousands)1in %2in years2RWAin %| Central governments and central banks as of 31.12.23 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| 0.00 to <0.15 | 12,373 | 0.0 | 0.1 | 47.3 | 0.5514 | 4.2 |
| 0.15 to <0.25 | 207 | 0.2 | < 0.1 | 54.1 | 0.658 | 27.8 |
| 0.25 to <0.50 | 210 | 0.4 | < 0.1 | 75.4 | 1.0157 | 74.9 |
| 0.50 to <0.75 | 1 | 0.7 | < 0.1 | 60.0 | 2.5 | 1113.1 |
| 0.75 to <2.50 | 3 | 1.6 | < 0.1 | 55.0 | 1.0 | 3115.2 |
| 2.50 to <10.00 | | | | | | |
| 10.00 to <100.00 | | | | | | |
| 100.00 (default) | | | | | | |
| Subtotal | 12,793 | 0.0 | 0.2 | 47.9 | 0.5733 | 5.7 |

Central governments and central banks as of 30.6.23
0.00 to <0.15	9,036	0.0	0.2	43.6	0.7390	4.3
0.15 to <0.25	408	0.2	< 0.1	48.0	0.496	23.5
0.25 to <0.50	316	0.3	< 0.1	84.6	1.0267	84.7
0.50 to <0.75	0	0.7	< 0.1	60.0	2.5	0113.1
0.75 to <2.50	2	1.6	< 0.1	65.0	1.0	3136.2
2.50 to <10.00	2	2.6	< 0.1	70.5	1.0	3179.1
10.00 to <100.00
100.00 (default)
Subtotal	9,764	0.0	0.2	45.1	0.7759	7.8

Central governments and central banks as of 31.12.22
0.00 to <0.15	13,058	0.0	0.1	46.2	0.6572	4.4
0.15 to <0.25	248	0.2	< 0.1	52.2	0.463	25.4
0.25 to <0.50	482	0.3	< 0.1	93.3	0.6434	90.0
0.50 to <0.75
0.75 to <2.50	15	1.1	< 0.1	95.0	0.221	142.1
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	13,802	0.0	0.1	48.0	0.61,089	7.9

31 December 2023 Pillar 3 Report |UBS Group | Counterparty credit risk 56

CCR4: IRB – CCR exposures by portfolio and PD scale (continued)

Average PDNumber of obligorsAverage LGDAverage maturityRWA density USD m, except where indicatedEAD post-CRMin %(in thousands)1in %2in years2RWAin %| Banks and securities dealers as of 31.12.23 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| 0.00 to <0.15 | 25,342 | 0.1 | 0.5 | 52.5 | 0.85,036 | 19.9 |
| 0.15 to <0.25 | 2,874 | 0.2 | 0.2 | 49.4 | 0.81,160 | 40.4 |
| 0.25 to <0.50 | 1,640 | 0.4 | 0.1 | 53.7 | 1.21,067 | 65.1 |
| 0.50 to <0.75 | 330 | 0.7 | < 0.1 | 52.8 | 1.3287 | 86.9 |
| 0.75 to <2.50 | 897 | 1.4 | 0.1 | 52.3 | 0.7988 | 110.1 |
| 2.50 to <10.00 | 156 | 3.1 | < 0.1 | 21.8 | 1.1131 | 84.1 |
| 10.00 to <100.00 | 0 | 13.0 | < 0.1 | 50.0 | 0.0 | 0250.5 |
| 100.00 (default) | | | | | | |
| Subtotal | 31,239 | 0.1 | 1.1 | 52.0 | 0.88,670 | 27.8 |

Banks and securities dealers as of 30.6.23
0.00 to <0.15	25,860	0.1	0.6	52.4	0.85,033	19.5
0.15 to <0.25	3,297	0.2	0.2	49.9	0.91,321	40.1
0.25 to <0.50	1,563	0.4	0.1	53.5	1.0960	61.4
0.50 to <0.75	462	0.6	< 0.1	53.7	1.1412	89.2
0.75 to <2.50	728	1.3	0.1	55.8	0.7846	116.3
2.50 to <10.00	271	4.0	< 0.1	15.2	1.6193	71.3
10.00 to <100.00	1	14.3	< 0.1	50.0	0.5	2265.1
100.00 (default)
Subtotal	32,180	0.2	1.2	52.0	0.88,767	27.2

Banks and securities dealers as of 31.12.22
0.00 to <0.15	16,205	0.1	0.3	49.9	0.72,960	18.3
0.15 to <0.25	3,876	0.2	0.2	48.4	0.71,390	35.9
0.25 to <0.50	1,713	0.4	0.1	53.0	0.6802	46.8
0.50 to <0.75	431	0.6	< 0.1	56.3	0.7286	66.3
0.75 to <2.50	553	1.2	< 0.1	59.5	0.7660	119.4
2.50 to <10.00	95	4.2	< 0.1	85.5	0.378	82.5
10.00 to <100.00
100.00 (default)
Subtotal	22,872	0.2	0.9	50.4	0.76,176	27.0

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	2.2113	12.1
0.15 to <0.25	109	0.2	< 0.1	40.9	1.224	21.5
0.25 to <0.50	2	0.4	< 0.1	97.2	1.3	284.6
0.50 to <0.75
0.75 to <2.50	0	1.0	< 0.1	27.6	1.0	047.4
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	1,042	0.0	< 0.1	50.2	2.1138	13.3

Public-sector entities and multi-lateral development banks as of 30.6.23
0.00 to <0.15	603	0.0	< 0.1	48.5	1.369	11.5
0.15 to <0.25	84	0.2	< 0.1	33.0	1.315	17.9
0.25 to <0.50	1	0.4	< 0.1	100.0	1.3	187.6
0.50 to <0.75	0	0.6	< 0.1	100.0	1.0	0112.5
0.75 to <2.50	0	1.9	< 0.1	5.0	1.0	08.9
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	688	0.1	< 0.1	46.6	1.385	12.4

Public-sector entities and multi-lateral development banks as of 31.12.22
0.00 to <0.15	438	0.0	< 0.1	51.5	0.945	10.2
0.15 to <0.25	97	0.2	< 0.1	37.6	1.320	20.6
0.25 to <0.50	1	0.4	< 0.1	88.3	1.5	182.0
0.50 to <0.75	0	0.6	< 0.1	35.0	1.0	039.4
0.75 to <2.50	0	1.9	< 0.1	5.0	1.0	08.9
2.50 to <10.00
10.00 to <100.00
100.00 (default)
Subtotal	536	0.1	< 0.1	49.1	1.066	12.2

31 December 2023 Pillar 3 Report |UBS Group | Counterparty credit risk 57

CCR4: IRB – CCR exposures by portfolio and PD scale (continued) Average PDNumber of obligorsAverage LGDAverage maturityRWA density USD m, except where indicatedEAD post-CRMin %(in thousands)1in %2in years2RWAin %| Corporates: including specialized lending as of 31.12.23 | 3 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 0.00 to <0.15 | | 41,868 | 0.0 | 12.6 | 34.8 | 0.64,086 | 9.8 |
| 0.15 to <0.25 | | 6,415 | 0.2 | 2.5 | 49.5 | 0.72,355 | 36.7 |
| 0.25 to <0.50 | | 4,500 | 0.4 | 0.8 | 72.0 | 0.84,537 | 100.8 |
| 0.50 to <0.75 | | 4,875 | 0.6 | 0.9 | 72.2 | 0.57,744 | 158.8 |
| 0.75 to <2.50 | | 3,629 | 1.3 | 1.4 | 46.2 | 0.64,422 | 121.9 |
| 2.50 to <10.00 | | 2,827 | 4.7 | 0.4 | 19.7 | 0.82,515 | 89.0 |
| 10.00 to <100.00 | | 1 | 18.8 | < 0.1 | 23.1 | 1.0 | 1128.5 |
| 100.00 (default) | | 38 | 100.0 | < 0.1 | | 40 | 106.0 |
| Subtotal | | 64,152 | 0.5 | 18.5 | 41.7 | 0.625,699 | 40.1 |

Corporates: including specialized lending as of 30.6.23
0.00 to <0.15	50,828	0.0	13.8	36.0	0.56,168	12.1
0.15 to <0.25	8,271	0.2	2.4	47.0	0.73,762	45.5
0.25 to <0.50	4,303	0.4	0.8	82.0	0.65,283	122.8
0.50 to <0.75	2,290	0.6	0.8	59.5	0.83,239	141.5
0.75 to <2.50	4,433	1.3	1.3	32.4	0.54,239	95.6
2.50 to <10.00	2,749	4.2	0.3	21.9	0.82,825	102.8
10.00 to <100.00	15	16.4	< 0.1	36.9	1.028	183.8
100.00 (default)	5	100.0	< 0.1			6106.0
Subtotal	72,896	0.3	19.5	39.9	0.625,550	35.0

Corporates: including specialized lending as of 31.12.22
0.00 to <0.15	43,162	0.0	11.5	34.3	0.55,820	13.5
0.15 to <0.25	7,559	0.2	2.1	53.0	0.64,154	54.9
0.25 to <0.50	3,206	0.4	0.6	91.7	0.74,828	150.6
0.50 to <0.75	1,857	0.6	0.6	79.0	0.73,478	187.3
0.75 to <2.50	4,933	1.2	1.0	35.0	0.44,454	90.3
2.50 to <10.00	1,938	3.8	0.1	17.8	1.31,675	86.4
10.00 to <100.00
100.00 (default)	6	100.0	< 0.1			6106.0
Subtotal	62,660	0.3	15.8	40.4	0.524,416	39.0

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	14154.8
100.00 (default)	1100.0		< 0.1		1106.0
Subtotal	8,096	0.3	19.1	38.6	934	11.5

Retail: other retail as of 30.6.23
0.00 to <0.15	7,028	0.0	17.9	38.8	377	5.4
0.15 to <0.25	269	0.2	0.4	31.6	40	14.8
0.25 to <0.50	441	0.3	0.4	33.4	111	25.1
0.50 to <0.75	320	0.6	0.3	29.4	104	32.5
0.75 to <2.50	664	1.1	1.2	35.7	332	49.9
2.50 to <10.00	135	3.8	0.1	24.9	63	46.7
10.00 to <100.00	21	20.8	< 0.1	21.7	13	62.1
100.00 (default)
Subtotal	8,879	0.3	20.4	37.5	1,040	11.7

Retail: other retail as of 31.12.22
0.00 to <0.15	4,680	0.0	16.0	29.4	214	4.6
0.15 to <0.25	148	0.2	1.0	30.2	21	14.0
0.25 to <0.50	260	0.3	1.2	28.0	58	22.3
0.50 to <0.75	295	0.6	1.9	27.6	89	30.2
0.75 to <2.50	686	1.1	1.3	35.7	315	45.9
2.50 to <10.00	99	3.4	0.2	30.4	57	57.3
10.00 to <100.00	21	15.3	0.1	41.9	37175.9
100.00 (default)
Subtotal	6,189	0.3	21.8	30.0	791	12.8

Total 31.12.23	117,322	0.3	39.0	45.0	0.736,174	30.8
Total 30.6.23	124,407	0.3	41.4	43.3	0.736,200	29.1
Total 31.12.22	106,060	0.2	38.7	43.0	0.632,538	30.7

31 December 2023 Pillar 3 Report |UBS Group | Counterparty credit risk 58

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 2023, the fair value of collateral received for SFTs increased by USD 4.8bn to USD 700.8bn,

mainly related to increases in sovereign and other debt securities, predominantly reflecting net new excess cash reinvestment trades, partly offset by decreases in cash and equity securities, mainly reflecting lower levels of client activity

in the Investment Bank. The fair values of collateral received and posted for derivative transactions were broadly in line

with the balances as of 30 June 2023.

CCR5: Composition of collateral for CCR exposure1 Collateral used in derivative transactionsCollateral used in SFTs Fair value ofFair value of Fair value of collateral receivedFair value of posted collateralcollateral receivedposted collateral USD mSegregatedUnsegregatedTotalSegregatedUnsegregatedTotal| 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 |

30.6.23
Cash – domestic currency		1,282	31,074	32,356	2,009	21,879	23,888	43,268	99,218
Cash – other currencies		0	27,913	27,913	5,292	26,270	31,563	24,792	55,218
Sovereign debt		11,955	15,273	27,228	12,614	12,845	25,459	286,534	175,448
Other debt securities		2,074	13,492	15,567	2,779	1,274	4,053	69,461	50,695
Equity securities		5,498	12,645	18,143	2,509	9,854	12,363	243,118	174,188
Other collateral	2	1,115	3,763	4,878	0	32	32	28,895	10,561
Total		21,924	104,160	126,084	25,203	72,155	97,358	696,068	565,328

31.12.22
Cash – domestic currency		1,904	28,136	30,040	1,719	11,627	13,346	33,378	56,422
Cash – other currencies		0	20,408	20,408	4,895	16,856	21,750	13,950	32,551
Sovereign debt		9,446	9,500	18,947	5,243	9,294	14,537	219,698	153,964
Other debt securities		1,443	2,866	4,308	235	1,600	1,835	53,981	32,922
Equity securities		3,650	271	3,921	1,659	6,122	7,781	210,316	147,128
Other collateral	2	653	1	654	0	287	287	28,449	8,502
Total		17,096	61,181	78,277	13,751	45,786	59,537	559,773	431,488

31 December 2023 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 2023, notionals for credit derivatives decreased by USD 50.5bn to USD 150.8bn for protection bought and by USD 56.7bn to USD 132.8bn for protection sold, primarily driven by single-name credit default swaps and index credit default swaps, mainly reflecting a reduction in hedging requirements due to unwinding of the Credit Suisse business.

CCR6: Credit derivatives exposures| | 31.12.23 | | 30.6.23 | | 31.12.22 | |
| --- | --- | --- | --- | --- | --- | --- |
| USD m | Protectionbought | Protectionsold | Protectionbought | Protectionsold | Protectionbought | Protectionsold |
| Notionals1 | | | | | | |
| Single-name credit default swaps | 60,366 | 57,615 | 86,437 | 86,737 | 20,257 | 22,545 |
| Index credit default swaps | 86,207 | 74,168 | 108,264 | 100,605 | 22,824 | 18,687 |
| Total return swaps | 2,609 | 1,053 | 3,165 | 1,597 | 794 | 413 |
| Credit options | 1,573 | 0 | 3,355 | 558 | 1,693 | 0 |
| Total notionals | 150,756 | 132,836 | 201,221 | 189,498 | 45,567 | 41,645 |
| Fair values | | | | | | |
| Positive fair value (asset) | 2,038 | 1,931 | 2,784 | 2,612 | 568 | 482 |
| Negative fair value (liability) | 3,251 | 1,488 | 3,400 | 2,846 | 577 | 632 |
| 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 internal model method (the IMM) for derivatives and the VaR approach for SFTs.

CCR RWA on derivatives under the IMM decreased by USD 2.0bn to USD 17.3bn during the fourth quarter of 2023.
Methodology and policy updates resulted in a decrease of USD 1.4bn, mainly due to a change in the treatment of a derivatives portfolio from the internal model -based approach to the standardized approach. Asset quality movements contributed to an RWA decrease of USD 0.9bn, mainly due to an improvement in the risk density of clients in the Investment Bank. Model updates resulted in a decrease of USD 0.7bn, primarily related to the recalibration of certain multipliers as a result of improvements to models. These decreases were partly offset by increases of USD 0.5bn due to foreign exchange movements and USD 0.4bn from asset size movements.

CCR RWA on SFTs under the VaR approach increased by USD 2.2bn to USD 11.0bn during the fourth quarter of 2023.
The RWA increase of USD 2.1bn from asset quality movements was primarily due to an increase in the risk density of clients in the Investment Bank. An update to the VaR model resulted in an increase of USD 1.4bn. These increases were partly offset by a decrease of USD 1.5bn from asset size movements, primarily due to lower client activity levels in the Investment Bank.
›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 31.12.23 | | For the quarter ended 30.9.23 | | For the quarter ended 30.6.23 | | | For the quarter ended 31.3.23 | | |
| USD m | Derivatives | SFTsTotal | Derivatives | SFTs | TotalDerivatives | | SFTsTotal | Derivatives | SFTsTotal | |
| | Subject toIMM | Subjectto VaR | Subject to | IMMSubjectto VaR | | Subject toIMMSubjectto VaR | | Subject toIMM | Subjectto VaR | |
| 1RWA as of the beginning of thequarter | 19,274 | 8,74828,022 | 20,329 | 8,472 | 28,801 | 15,921 | 7,40223,324 | 16,438 | 9,42125,859 | |
| 2Asset size | 385 | (1,460)(1,076) | | 1,914(180) | 1,733 | 2,856 | (746)2,109 | (224) | (1,090)(1,314) | |
| 3Credit quality of counterparties | (868) | 2,0861,218 | (2,007) | 386 | (1,622) | (1,515) | 121(1,394) | (213) | (1,039)(1,251) | |
| 4Model updates | (671) | 1,431 | 760 | (663)182 | (481) | (1,246) | 62(1,184) | (124) | 91 | (33) |
| 5Methodology and policy | (1,371) | (1,371) | | | | | | | | |
| 5aof which: regulatory add-ons | | | | | | | | | | |
| 6Acquisitions and disposals | | | | | | 4,321 | 1,6315,952 | | | |
| 6aof which: acquisition of theCredit Suisse Group | | | | | | 4,321 | 1,6315,952 | | | |
| 6bof which: other | | | | | | | | | | |
| 7Foreign exchange movements | 525 | 191 | 716 | (298)(111) | (409) | (8) | 2(6) | 45 | 19 | 63 |
| 8Other | | | | | | | | | | |
| 9RWA as of the end of thequarter | 17,273 | 10,99628,270 | 19,274 | 8,748 | 28,022 | 20,329 | 8,47228,801 | 15,921 | 7,40223,324 | |

31 December 2023 Pillar 3 Report |UBS Group | Counterparty credit risk 60

Semi-annual |The CCR8 table below presents a breakdown of exposures to central counterparties and related RWA.
Compared with 30 June 2023, exposures to qualifying central counterparties increased by USD 17.2bn to USD 92.8bn,
primarily due to market-driven movements on exchange-traded derivatives in the Investment Bank.

CCR8: Exposures to central counterparties| | | 31.12.23 | | | 30.6.23 | | 31.12.22 | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD m | | EAD (post-CRM) | RWA | EAD (post-CRM) | | RWAEAD (post-CRM) | | RWA |
| 1Exposures to QCCPs (total) | 1 | 92,813 | 2,960 | | 75,625 | 2,375 | 53,936 | 1,374 |
| 2Exposures for trades at QCCPs (excluding initial margin and default fundcontributions); of which | | 56,241 | 1,016 | | 45,088 | 828 | 31,367 | 554 |
| 3(i) OTC derivatives | | 6,104 | 117 | | 5,796 | 110 | 6,053 | 116 |
| 4(ii) Exchange-traded derivatives | | 43,803 | 773 | | 30,737 | 546 | 17,442 | 281 |
| 5(iii) Securities financing transactions | | 6,335 | 127 | | 8,555 | 171 | 7,872 | 157 |
| 6(iv) Netting sets where cross-product netting has been approved | | | | | | | | |
| 7Segregated initial margin | | | | | | | | |
| 8Non-segregated initial margin | 2 | 32,831 | 189 | | 26,184 | 140 | 20,720 | 84 |
| 9Pre-funded default fund contributions | | 3,741 | 1,754 | | 4,353 | 1,408 | 1,849 | 737 |
| 10Unfunded default fund contributions | | | | | | | | |
| 11Exposures to non-QCCPs (total) | | 479 | 678 | | 514 | 714 | 438 | 633 |
| 12Exposures for trades at non-QCCPs (excluding initial margin and default fundcontributions); of which | | 436 | 436 | | 472 | 472 | 397 | 397 |
| 13(i) OTC derivatives | | | | | | | 0 | 0 |
| 14(ii) Exchange-traded derivatives | | 433 | 433 | | 459 | 459 | 378 | 378 |
| 15(iii) Securities financing transactions | | | 2 | 2 | 13 | 13 | 19 | 19 |
| 16(iv) Netting sets where cross-product netting has been approved | | | | | | | | |
| 17Segregated initial margin | | | | | | | | |
| 18Non-segregated initial margin | 2 | | 9 | 9 | 10 | 10 | 11 | 11 |
| 19Pre-funded default fund contributions | | 20 | | 49 | 18 | 51 | 16 | 49 |
| 20Unfunded default fund contributions | 3 | 15 | 184 | | 15 | 182 | 14 | 176 |

1 Qualifying central counterparties (QCCPs) are entities 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 SA-CCR multiplied by an alpha factor of 1.4. The RWA reflect the exposure multiplied by the applied risk weight of derivatives. Under SA-CCR, collateral posted to a segregated, bankruptcy-remote account does not increase the value of replacement costs. 3 Excludes unfunded default fund contributions that are not subject to RWA calculations in line with regulatory guidance.
p

31 December 2023 Pillar 3 Report |UBS Group | Counterparty 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.

On 12 June 2023, UBS Group AG acquired Credit Suisse Group AG. Upon legal close, we have applied existing UBS prudent risk management practices and escalation protocols to material risks of Credit Suisse. UBS and Credit Suisse continue to rely on their respective established governance and risk control framework. RWA calculations are based on the applicable rules and models approved by FINMA for the respective legal entities. 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 current standardized approach rules, without consideration of the material revisions announced by the Basel Committee on Banking Supervision (the BCBS) in December 2017 and expected to go live 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.
›Refer to the “Acquisition and integration of Credit Suisse” and the “Risk management and control” sections of the UBS Group Annual Report 2023, available under ”Annual reporting” atubs.com/investors, for more information.

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, such as collateral, can have a significant effect. In line with 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 modelbased 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 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.

31 December 2023 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 approachInternal model approachKey impact

EAD for derivativesSA-CCR is calculated as the replacement costs plusInternal Models Method (IMM) allows Monte-CarloFor large diversified derivatives portfolios, regulatory add-ons that take into account potentialsimulation to estimate exposure.standardized EAD is higher than modeled EAD.
future market moves at predetermined fixed rates.

Differentiates add-ons by five exposure types andApplication of multiplier on IMM exposure estimate.
three maturity buckets only.

Limited ability to net.Variability in holding period applied to collateralized transactions, reflecting liquidity risks.

EAD for SFTsThe comprehensive approach considers the adjustedThe RepoVaR approach is a model based on Monte-For large, diversified SFT portfolios, standardized exposure after applicable supervisory haircuts onCarlo and historical simulation to estimateEAD is higher than modeled EAD.
both the exposure and the collateral received toexposure, computed as quantile exposure.
take account of possible future fluctuations in the value of either the exposure or the collateral.
CCFCredit exposure equivalents are determined byA CCF is applied to model expected futureModeled CCFs can be more tailored and applying credit conversion factors (CCFs) to off-drawdowns over the 12-month period, irrespectivedifferentiated.
balance sheet items. The CCFs vary based onof the actual maturity of a particular transaction.
product type, maturity and the underlyingThe credit conversion factor includes downturn contractual agreements.adjustments and is the result of analysis of internal data and expert opinion.

Risk weightingReliance on ECAIs: where no rating is available,Reliance on internal ratings where eachModel approach produces lower RWA for highgenerally a 100% risk weight is applied (e.g., forcounterparty / transaction receives a rating.quality short-term transactions.
most small and medium-size enterprises and funds).

Less granular risk weight differentiation with 4 keyGranular risk-sensitive risk weights differentiationStandardized approach produces lower RWA for weights: 20%, 50%, 100%, 150% (and 0% forvia individual PDs and LGDs.non-investment grade and long-term transactions.
AAA sovereigns; 35%, 75% or 100% for mortgages; 75% or 100% for retail).
No differentiation for transaction features.LGD captures transaction quality features incl.Impact relevant across all asset classes.
collateralization.

Application of a 1.06 scaling factor.

Risk mitigationLimited recognition of risk mitigation.Risk mitigation recognized via risk sensitive LGD orStandardized approach RWA higher than model EAD.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 withRepo VaR allows use of VaR models to estimate limited risk-sensitivity.exposure and collateral for SFTs. Approach permits

full diversification and netting across all collateral types.
Maturity in risk weightNo differentiation for maturity of transactions,Regulatory RWA function considers maturity: theModel approach produces lower RWA for highexcept for interbank exposures.longer the maturity, the higher the risk weight (seequality short-term transactions.
chart “Risk weight by maturity”).

31 December 2023 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 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 credit risk mitigation 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 | | | | |
| --- | --- | --- | --- | --- |
| 31.12.23 | A-IRB, credit and counterparty credit risk | | | LRD |
| in USD bn, except where indicated | Net EAD | Average RW % | RWA | |
| Central governments and central banks | 294 | 2 | 5 | 320 |
| Multi-lateral development banks | 5 | 1 | 0 | 5 |
| Public-sector entities | 5 | 21 | 1 | 5 |
| Banks and securities dealers | 48 | 33 | 16 | 161 |
| Corporates | 260 | 51 | 132 | 339 |
| Retail | 568 | 16 | 92 | 494 |
| of which: Residential mortgages | 312 | 21 | 65 | 304 |
| of which: Lombard lending | 238 | 9 | 22 | 165 |
| Total› | 1,179 | 21 | 246 | 1,323 |

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 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 2023 was USD 304bn 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 2023 was USD 48bn. 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.

31 December 2023 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 33%. 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 2023 was USD 260bn. The exposure calculated under the leverage ratio is higher than the EAD computed using internal models. This is because credit risk mitigation, 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 51%. 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 2023 was USD 568bn, 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 2023 Pillar 3 Report |UBS Group | Comparison of A-IRB approach and standardized approach for credit risk 65

Residential mortgages Under the standardized approach, fixedrisk weights are applied to residential mortgage exposures, depending on the LTV, i.e., a risk weightof 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-basedapproach considers borrowers’ abilityto service debt more accurately, including mortgage affordabilityand calibration based on historic data. The Group’sresidential mortgage portfolio is focused on the Swiss market andthe Group has robust review processes concerning borrowers’ ability torepay. This results in the Group’s residential mortgage portfoliohaving a low average LTV and results in an average risk weight of21% 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.p

Securitizations

SECA: Introduction

Annual |This section provides details of traditional and synthetic securitization exposures in the banking and trading book based on the BaselIII securitization framework.

In a traditional securitization a pool of loans (or other debt obligations) 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.

SECA: 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 our Non-core and Legacy and Investment Banking business divisions. We plan to exit the exposures in Non-core and Legacy in near-to-mid term. Securitization exposures in the banking book are aimed at releasing capital and reducing or limiting risk by securitizing the underlying assets.

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).

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 or 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 29 Interests in subsidiaries and other entities” in the “Consolidated financial statements” section of the UBS Group Annual Report 2023, available under ”Annual reporting” atubs.com/investors, for further information about interests in

structured entities.

31 December 2023 Pillar 3 Report |UBS Group | Comparison of A-IRB approach and standardized approach for credit risk 66

Managing and monitoring of the credit and market risk ofsecuritizationpositions 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 test 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 2023, 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 and related policies” in “Note1 Summary of material accounting policies” in the “Consolidated financial statements” section of the UBS Group Annual Report 2023, 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.p

Securitization exposures in the banking and trading books
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 2023 and 30 June 2023, respectively. The securitization activity is further broken down by role (originator, sponsor or investor) and by securitization type (traditional or synthetic). For synthetic securitization transactions, the amounts disclosed reflect the securitization exposure retained by us. 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 2023 Compared with 30 June 2023, securitization exposures in the banking book decreased by USD 7.3bn to USD 56.7bn, mainly driven by an accelerated roll-off arising from our actions to actively unwind the portfolio, in addition to natural roll-off, in Non-core and Legacy .

Compared with 30 June 2023, securitization exposures in the trading book decreased by USD 0.4bn to USD 0.2bn, with a corresponding RWA decrease of USD 0.6bn, mainly in Non-core and Legacy, in traditional wholesale exposures where the firm acts as an investor.

31 December 2023 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 | | TraditionalSynthetic | Subtotal | Traditional | Synthetic | SubtotalTraditional | Synthetic | Subtotal | |
| 31.12.23 | | | | | | | | | |
| Asset classes | | | | | | | | | |
| 1Retail (total) | | 306 | 549 | 855 | 29 | 29 | 7,558 | 7,558 | 8,442 |
| 2of which: residential mortgage | | | 501 | 501 | | | 1,887 | 1,887 | 2,388 |
| 3of which: credit card receivables | | | | | 29 | 29 | 808 | 808 | 837 |
| 4of which: other retail exposures | 1 | 306 | 48 | 354 | | | 4,863 | 4,863 | 5,217 |
| 5Wholesale (total) | | 667 | 37,21537,882 | 361 | | 361 | 9,837 | 9,837 | 48,080 |
| 6of which: loans to corporates or SME | | | 25,49225,492 | | | | 1,736 | 1,736 | 27,228 |
| 7of which: commercial mortgage | | | 11,56511,565 | | | | 1,056 | 1,056 | 12,621 |
| 8of which: lease and receivables | | | | | | | 2,921 | 2,921 | 2,921 |
| 9of which: other wholesale | | 667 | 158 | 825361 | | 361 | 4,124 | 4,124 | 5,310 |
| 10Re-securitization | | 11 | | 11 | | | 146 | 146 | 157 |
| 11Total securitization / re-securitization | | | | | | | | | |
| (including retail and wholesale) | | 984 | 37,76438,748 | 390 | | 390 | 17,541 | 17,541 | 56,679 |

30.6.23
Asset classes
1Retail (total)		384	498882	539	5399,431		9,43110,851
2of which: residential mortgage			451451		2,505		2,505	2,956
3of which: credit card receivables				221	221	869	869	1,090
4of which: other retail exposures	1	384	46430	318	3186,056		6,056	6,805
5Wholesale (total)		72140,094	40,815	1,649	1,64910,477		10,47752,942
6of which: loans to corporates or SME		28,758	28,758	148	1483,287		3,28732,193
7of which: commercial mortgage		11,227	11,227		1,037		1,03712,264
8of which: lease and receivables				850	8503,406		3,406	4,256
9of which: other wholesale		721	109830	651	6512,748		2,748	4,229
10Re-securitization		9		9		133	133	142
11Total securitization / re-securitization(including retail and wholesale)
		1,11440,592	41,706	2,189	2,18920,041		20,04163,935

31.12.22
Asset classes
1Retail (total)		2	2	2
2of which: residential mortgage		2	2	2
3of which: credit card receivables
4of which: other retail exposures	1
5Wholesale (total)		1,424	1,4241,424
6of which: loans to corporates or SME
7of which: commercial mortgage
8of which: lease and receivables
9of which: other wholesale		1,424	1,4241,424
10Re-securitization
11Total securitization / re-securitization
(including retail and wholesale)		1,425	1,4251,425
1 Includes unsecured consumer loans, solar leases and automobile loans.

31 December 2023 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 | TraditionalSynthetic | Subtotal | TraditionalSynthetic | SubtotalTraditional | Synthetic | Subtotal | |
| 31.12.23 | | | | | | | |
| Asset classes | | | | | | | |
| 1Retail (total) | | | 6 | 6 | 2716 | 43 | 50 |
| 2of which: residential mortgage | | | 6 | 6 | 2316 | 39 | 46 |
| 4of which: other retail exposures | | | | | 4 | 4 | 4 |
| 5Wholesale (total) | 27 | 431 | | | 5485 | 139 | 170 |
| 6of which: loans to corporates or SME | | | | | 1 | 01 | 1 |
| 7of which: commercial mortgage | 27 | 27 | | | 5385 | 138 | 165 |
| 9of which: other wholesale | | 44 | | | | | 4 |
| 10Re-securitization | | 99 | | | 6 | 6 | 16 |
| 11Total securitization / re-securitization | | | | | | | |
| (including retail and wholesale) | 27 | 1341 | 6 | 6 | 88101 | 188 | 235 |

30.6.23
Asset classes
1Retail (total)			2	2117	15132	135
2of which: residential mortgage			2	227	1542	45
4of which: other retail exposures				90	90	90
5Wholesale (total)	484	5235	1	36358	61419	506
6of which: loans to corporates or SME				258	0258	258
7of which: commercial mortgage	48	4835	1	36100	61161	244
9of which: other wholesale	4	4				4
10Re-securitization	10	10		12	12	22
11Total securitization / re-securitization
(including retail and wholesale)	4814	6237	1	38487	76563	664

31.12.22
Asset classes
1Retail (total)	1	1	3	3	81	9	12
2of which: residential mortgage	1	1	3	3	81	9	12
4of which: other retail exposures
5Wholesale (total)	103	4107	41	41330	43	373520
6of which: loans to corporates or SME
7of which: commercial mortgage	103	103	41	41330	43	373516
9of which: other wholesale		44					4
10Re-securitization	10	10					11
11Total securitization / re-securitization
(including retail and wholesale)	10314	118	43	43339	44	382543

31 December 2023 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| | exposureTotal | | | | | | | | Total | | | Total capitalcharge after | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD m | values | | Exposure values (by RW bands) | | | Exposure values (by regulatory approach) | | | RWA | RWA (by regulatory approach) | | | cap | Capital charge after cap | | |
| 31.12.23 | ≤20% RW | >20% to50% RW | 100% RW>50% to | <1250% RW>100% to | 1250% RW | IRBASEC- | ERBASEC-SEC-SA | 1250% | IRBASEC- | ERBASEC- | SEC-SA1250% | | IRBASEC- | ERBASEC- | SEC-SA1250% | |
| Asset classes | | | | | | | | | | | | | | | | |
| 1Total exposures | 39,138 | 37,849 | 775 | 247 | 219 | 4938,464 | 411214 | 49 | 8,5656,980 | 806 | 151 | 628 | 667558 | 52 | 8 | 49 |
| 2Traditional securitization | 1,374 | 378 | 698 | 88 | 161 | 49700 | 411214 | 49 | 1,822237 | 806 | 151 | 628 | 12819 | 52 | 8 | 49 |
| 3of which: securitization | 1,363 | 378 | 698 | 78 | 160 | 49700 | 411203 | 49 | 1,807237 | 806 | 136 | 628 | 12619 | 52 | 6 | 49 |
| 4of which: retail underlying | 335 | 141 | 66 | 45 | 33 | 49 | 83203 | 49 | 954 | 190 | 136 | 628 | 58 | 3 | 6 | 49 |
| 5of which: wholesale | 1,028 | 237 | 632 | 33 | 127 | 700 | 328 | | 853237 | 616 | 0 | | 6819 | 49 | | |
| 6of which: re-securitization | 11 | | | 10 | 1 | | 11 | | 15 | | 15 | | 2 | | 2 | |
| 7of which: senior | 8 | | | 8 | | | | 8 | 8 | | 8 | | 1 | | 1 | |
| 8of which: non-senior | 3 | | | 2 | 1 | | | 3 | 7 | | 7 | | 1 | | 1 | |
| 9Synthetic securitization | 37,764 | 37,471 | 77 | 159 | 58 | 37,764 | | | 6,7436,743 | | | | 539539 | | | |
| 10of which: securitization | 37,764 | 37,471 | 77 | 159 | 58 | 37,764 | | | 6,7436,743 | | | | 539539 | | | |
| 11of which: retail underlying | 549 | 548 | | | 1 | 549 | | | 103103 | | | | 8 | 8 | | |
| 12of which: wholesale | 37,215 | 36,923 | 77 | 159 | 57 | 37,215 | | | 6,6406,640 | | | | 531531 | | | |
| 13of which: re-securitization | | | | | | | | | | | | | | | | |
| 14of which: senior | | | | | | | | | | | | | | | | |
| 15of which: non-senior | | | | | | | | | | | | | | | | |

30.6.23
Asset classes
1Total exposures	43,89441,626	1,686	302	262		1840,828	4932,555	189,507	7,467983	823233	721597	51	5418
2Traditional securitization	3,302	1,6471,121	302	213		18753	4932,037	182,223	291983	715233	13923	51	4518
3of which: securitization	3,293	1,6471,121	293	213		18753	4932,028	182,212	291983	704233	13823	51	4518
4of which: retail underlying	923	579	237	3	85	180	176728	18895	421	240233	40	07	1518
5of which: wholesale	2,370	1,068	885289	128		753	3171,300	1,317	291562	463	9823	45	29
6of which: re-securitization	9			9			9	11		11	1		1
7of which: senior	8			8			8	8		8	1		1
8of which: non-senior	1			1			1	3		3
9Synthetic securitization	40,59239,979		564		49	40,075	518	7,284	7,176	108	583574		9
10of which: securitization	40,59239,979		564		49	40,075	518	7,284	7,176	108	583574		9
11of which: retail underlying	498	497	0		1	498		95	95		8	8
12of which: wholesale	40,09439,482		564		48	39,577	518	7,190	7,081	108	575567		9
13of which: re-securitization
14of which: senior
15of which: non-senior

31 December 2023 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)

TotalTotal capital exposureTotalcharge after USD mvaluesExposure values (by RW bands)Exposure values (by regulatory approach)RWARWA (by regulatory approach)capCapital charge after cap >20% to>50% to>100% toSEC-SEC-SEC-SEC-SEC-SEC- 31.12.22≤20% RW50% RW100% RW<1250% RW1250% RWIRBAERBASEC-SA1250%IRBAERBASEC-SA1250%IRBAERBASEC-SA1250% Asset classes 1Total exposures 2Traditional securitization 3of which: securitization 4of which: retail underlying 5of which: wholesale 6of which: re-securitization 7of which: senior 8of which: non-senior 9Synthetic securitization 10of which: securitization 11of which: retail underlying 12of which: wholesale 13of which: re-securitization 14of which: senior 15of which: non-senior

31 December 2023 Pillar 3 Report |UBS Group | Securitizations 71

SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor| | exposureTotal | | | | | | | | Total | | Total capitalcharge after | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD m | values | | Exposure values (by RW bands) | | | Exposure values (by regulatory approach) | | | RWARWA (by regulatory approach) | | | cap | Capital charge after cap | | |
| 31.12.23 | ≤20% RW | >20% to50% RW | 100% RW>50% to | <1250% RW>100% to | 1250% RW | IRBASEC- | ERBASEC-SEC-SA | 1250% | IRBASEC- | ERBASEC-SEC-SA | 1250% | IRBASEC- | ERBASEC- | SEC-SA1250% | |
| Asset classes | | | | | | | | | | | | | | | |
| 1Total exposures | 17,541 | 13,5712,610 | | 840 | 498 | 21126 | 72516,669 | 215,994 | 19 | 2755,438 | 263 | 359 | 221 | 314 | 21 |
| 2Traditional securitization | 17,541 | 13,5712,610 | | 840 | 498 | 21126 | 72516,669 | 215,994 | 19 | 2755,438 | 263 | 359 | 221 | 314 | 21 |
| 3of which: securitization | 17,395 | 13,5712,610 | | 698 | 498 | 17126 | 72516,527 | 175,803 | 19 | 2755,296 | 214 | 344 | 221 | 303 | 17 |
| 4of which: retail underlying | 7,557 | 5,4831,734 | | 269 | 71 | | 827,475 | 1,808 | | 521,756 | | 133 | 4 | 129 | |
| 5of which: wholesale | 9,838 | 8,088 | 876 | 429 | 427 | 17126 | 6439,052 | 173,995 | 19 | 2233,540 | 213 | 211 | 217 | 174 | 17 |
| 6of which: re-securitization | 146 | | | 142 | | 4 | 142 | 4 | 191 | 142 | 49 | 15 | | 11 | 4 |
| 7of which: senior | 146 | | | 142 | | 4 | 142 | 4 | 191 | 142 | 49 | 15 | | 11 | 4 |
| 8of which: non-senior | | | | | | | | | | | | | | | |
| 9Synthetic securitization | | | | | | | | | | | | | | | |
| 10of which: securitization | | | | | | | | | | | | | | | |
| 11of which: retail underlying | | | | | | | | | | | | | | | |
| 12of which: wholesale | | | | | | | | | | | | | | | |
| 13of which: re-securitization | | | | | | | | | | | | | | | |
| 14of which: senior | | | | | | | | | | | | | | | |
| 15of which: non-senior | | | | | | | | | | | | | | | |

30.6.23
Asset classes
1Total exposures	20,04115,330	3,352	903	440	16943	62818,454	166,002	141243	5,408209	375	11	19327	16
2Traditional securitization	20,04115,330	3,352	903	440	16943	62818,454	166,002	141243	5,408209	375	11	19327	16
3of which: securitization	19,90815,330	3,352	772	440	15943	62818,323	155,849	141243	5,277187	363	11	19317	15
4of which: retail underlying	9,430	6,6232,590	199	18	1	1699,261	11,862	64	1,783	15149		5143	1
5of which: wholesale	10,477	8,707	762573	422	14943	4599,062	143,987	141179	3,494172	213	11	14174	14
6of which: re-securitization	133		131		2	131	2153		131	21	12	10	2
7of which: senior	133		131		2	131	2153		131	21	12	10	2
8of which: non-senior
9Synthetic securitization
10of which: securitization
11of which: retail underlying
12of which: wholesale
13of which: re-securitization
14of which: senior
15of which: non-senior

31 December 2023 Pillar 3 Report |UBS Group | Securitizations 72

SEC4: Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor (continued)| | exposureTotal | | | | | | | | Total | | Total capitalcharge after | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| USD m | values | Exposure values (by RW bands) | | | | Exposure values (by regulatory approach) | | | RWARWA (by regulatory approach) | | | cap | Capital charge after cap | | |
| 31.12.22 | ≤20% RW | >20% to50% RW | 100% RW>50% to | <1250% RW>100% to | 1250% RW | IRBASEC- | ERBASEC-SEC-SA | 1250% | IRBASEC- | ERBASEC-SEC-SA | 1250% | IRBASEC- | ERBASEC- | SEC-SA1250% | |
| Asset classes | | | | | | | | | | | | | | | |
| 1Total exposures | 1,425 | 1,345 | 77 | | 3 | | 801,342 | 3 | 271 | 28201 | 42 | 22 | 2 | 16 | 3 |
| 2Traditional securitization | 1,425 | 1,345 | 77 | | 3 | | 801,342 | 3 | 271 | 28201 | 42 | 22 | 2 | 16 | 3 |
| 3of which: securitization | 1,425 | 1,345 | 77 | | 3 | | 801,342 | 3 | 271 | 28201 | 42 | 22 | 2 | 16 | 3 |
| 4of which: retail underlying | 2 | | | | 2 | | | 2 | 22 | | 22 | 2 | | | 2 |
| 5of which: wholesale | 1,424 | 1,345 | 77 | | 2 | | 801,342 | 2 | 249 | 28201 | 20 | 20 | 2 | 16 | 2 |
| 6of which: re-securitization | | | | | | | | | | | | | | | |
| 7of which: senior | | | | | | | | | | | | | | | |
| 8of which: non-senior | | | | | | | | | | | | | | | |
| 9Synthetic securitization | | | | | | | | | | | | | | | |
| 10of which: securitization | | | | | | | | | | | | | | | |
| 11of which: retail underlying | | | | | | | | | | | | | | | |
| 12of which: wholesale | | | | | | | | | | | | | | | |
| 13of which: re-securitization | | | | | | | | | | | | | | | |
| 14of which: senior | | | | | | | | | | | | | | | |
| 15of which: non-senior | | | | | | | | | | | | | | | |

31 December 2023 Pillar 3 Report |UBS Group | Securitizations 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.p

Annual |The table below presents an overview of Pillar 3 disclosures separately provided in the UBS Group Annual Report
2023, available under “Annual reporting” atubs.com/investors.

MRA: Market risk

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber Strategies and processes of theRisk management and control–Risk appetite framework103–106 bank for market risk–Market risk–Overview of measurement, monitoring and126 management techniques –Market risk stress loss, Value-at-risk126–131

Consolidated financial statements–Note 11 Derivative instruments334–336 Structure and organization of theRisk management and control–Key risks by business division and Group Items98 market risk management function–Risk governance101–103| Scope and nature of risk reporting | Risk management and control | –Internal risk reporting | 106 |
| --- | --- | --- | --- |
| and measurement systems | | –Main sources of market risk, Overview of measurement, | 126 |
| | | monitoring and management techniques | |

Securitization positions in the trading book

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 2023, securitization exposures subject to market risk RWA decreased by USD 0.6bn to USD 0.5bn as of 31 December 2023, primarily due to reduction in traditional wholesale exposures to corporates or SMEs in Non-core and Legacy.
›Refer to the “Securitizations” section of this report for more information about the securitization exposures in the trading book| | | RWA | |
| --- | --- | --- | --- |
| USD m | 31.12.23 | 30.6.23 | 31.12.22 |
| Outright products | | | |
| 1Interest rate risk (general and specific) | | | |
| 2Equity risk (general and specific) | | | |
| 3Foreign exchange risk | | | |
| 4Commodity risk | | | |
| Options | | | |
| 5Simplified approach | | | |
| 6Delta-plus method | | | |
| 7Scenario approach | | | |
| 8Securitization | 509 | 1,092 | 463 |
| 9Total | 509 | 1,092 | 463 |

31 December 2023 Pillar 3 Report |UBS Group | Market risk 74

Market risk risk-weighted assets

In this section, regulatory VaR, stressed VaR and VaR backtesting are presented separately for UBS Group excluding Credit Suisse and Credit Suisse, 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 2023
Quarterly |The three main components that contribute to market risk RWA are regulatory VaR, stressed VaR (SVaR) and the incremental risk charge (the IRC). The VaR and SVaR components include the RWA charge for risks not in VaR (RniV).

The MR2 table below provides a breakdown of the movement in market risk RWA in the fourth quarter of 2023 under an internal model approach across those components, pursuant to the movement categories defined by the BCBS. These categories are described below.p

Definitions of market risk RWA movement table components for MR2

References in the table below refer to the line numbers provided in the movement table below.

ReferenceDescriptionDefinition

1/8cRWA as of previous andQuarter-end RWA.

current reporting

period end (end of

period)

1a/8bRegulatory adjustmentIndicates the difference between rows 1 and 1b, and 8c and 8a, respectively.

1b/8aRWA at previous andFor a given component (e.g., VaR), this refers to the RWA that would be computed if that component’s current quarter-endsnapshot quarter-end figure was higher than the average measure over the 60 business days immediately (end of day)preceding the period end.

Movement of end-of-day RWA

2Movement in risk levelsMovements due to changes in positions and risk levels.

3Model updates /Movements due to routine updates to model parameters and model changes.

changes

4Methodology andMovements due to methodological changes in calculations driven by regulatory policy changes, including policyrevisions of existing regulations, new regulations and add-ons mandated by the regulator.

5Acquisitions andMovements due to the disposal or acquisition of business operations, quantified based on the market risk disposalsexposures 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.”

6Foreign exchangeMovements due to changes in exchange rates. Note that the effect of movements in exchange rates is movementscaptured in “Movement in risk levels,” since exchange rate movements are part of the effects of market movements on risk levels.

7OtherMovements due to changes that cannot be attributed to any other category.

RWA flow statements of market risk exposures
Quarterly |Market risk RWA decreased by USD 2.2bn to USD 20.9bn in the fourth quarter of 2023, driven by a decrease in

asset size and other movements, partly offset by an increase related to ongoing parameter updates of the VaR models.
FINMA approved the integration of time decay into regulatory VaR and stressed VaR, which went live on 12 January 2024.

The FINMA VaR multiplier derived from backtesting exceptions for market risk RWA was unchanged compared with the prior quarter, at 3.0, for both the UBS Group excluding Credit Suisse and Credit Suisse.

31 December 2023 Pillar 3 Report |UBS Group | Market risk 75

MR2: RWA flow statements of market risk exposures under an IMA	1,2
USD m	VaRStressed VaR		IRC	CRMOther	Total RWA
1RWA as of 31.12.22	3,633	7,251	2,132		13,015
1aRegulatory adjustment	(1,298)	(3,960)	0		(5,257)
1bRWA at previous quarter-end (end of day)	2,335	3,291	2,132		7,758
2Movement in risk levels	663	872	185		1,721
3Model updates / changes	(49)	(21)	0		(70)
4Methodology and policy	0	0	0		0
5Acquisitions and disposals	0	0	0		0
6Foreign exchange movements	0	0	0		0
7Other	(177)	(511)	0		(688)
8aRWA at the end of the reporting period (end of day)	2,773	3,632	2,317		8,722
8bRegulatory adjustment	966	4,835	208		6,009
8cRWA as of 31.3.23	3,739	8,466	2,525		14,730
1RWA as of 31.3.23	3,739	8,466	2,525		14,730
1aRegulatory adjustment	(966)	(4,835)	(208)		(6,009)
1bRWA at previous quarter-end (end of day)	2,773	3,632	2,317		8,722
2Movement in risk levels	129	1,092	312		1,533
3Model updates / changes	(21)	(58)	0		(79)
4Methodology and policy	0	0	0		0
5Acquisitions and disposals	2,924	4,646	1,285		8,856
5aof which: acquisition of the Credit Suisse Group	2,924	4,646	1,285		8,856
5bof which: other	0	0	0		0
6Foreign exchange movements	0	0	0		0
7Other	97	611	0		708
8aRWA at the end of the reporting period (end of day)	5,902	9,922	3,914		19,739
8bRegulatory adjustment	919	1,824	63		2,806
8cRWA as of 30.6.23	6,821	11,746	3,978		22,545
1RWA as of 30.6.23	6,821	11,747	3,978		22,545
1aRegulatory adjustment	(2,286)	(3,967)	(69)		(6,321)
1bRWA at previous quarter-end (end of day)	4,535	7,780	3,909		16,224
2Movement in risk levels	(1,640)	(2,651)	155		(4,136)
3Model updates / changes	(17)	(29)	0		(46)
4Methodology and policy	0	0	0		0
5Acquisitions and disposals	0	0	0		0
6Foreign exchange movements	0	0	0		0
7Other	(174)	(579)	0		(752)
8aRWA at the end of the reporting period (end of day)	2,704	4,522	4,064		11,289
8bRegulatory adjustment	4,592	7,134	72		11,798
8cRWA as of 30.9.23	7,296	11,655	4,136		23,087
1RWA as of 30.9.23	7,296	11,655	4,136		23,087
1aRegulatory adjustment	(4,592)	(7,134)	(72)		(11,798)
1bRWA at previous quarter-end (end of day)	2,704	4,522	4,064		11,289
2Movement in risk levels	(371)	(82)	(473)		(926)
3Model updates / changes	62	4	0		67
4Methodology and policy	0	0	0		0
5Acquisitions and disposals	0	0	0		0
6Foreign exchange movements	0	0	0		0
7Other	115	269	0		384
8aRWA at the end of the reporting period (end of day)	2,510	4,713	3,591		10,814
8bRegulatory adjustment	4,026	5,850	198		10,074
8cRWA as of 31.12.23	6,537	10,563	3,789		20,889

31 December 2023 Pillar 3 Report |UBS Group | Market risk 76

Annual |The table below presents an overview of Pillar 3 disclosures separately provided in the UBS Group Annual Report
2023, available under “Annual reporting” atubs.com/investors.

MRB: Internal models approach

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber
Description of activities and risksRisk management and control–Value-at-risk127–131 covered by the VaR models and–Main sources of market risk126 stressed VaR models VaR models applied by differentRisk management and control–Main sources of market risk126 entities within the Group–Value-at-risk127–131

General description of VaR andRisk management and control–Value-at-risk127–131 stressed VaR models Main differences between the VaRRisk management and control–Value-at-risk127–131 and stressed VaR models used for management purposes and for regulatory purposes Further information on VaR modelsRisk management and control–Value-at-risk127–131 –Market risk stress loss126–127 –Market risk–Overview of measurement, monitoring and126 management techniques Consolidated financial statements–Note 21 Fair value measurement366–379 Description of stress testing appliedConsolidated financial statements–Note 21 Fair value measurement366–379 to modeling parameters Description of backtesting approachRisk management and control–Backtesting of VaR129–130 –VaR model confirmation130

Regulatory calculation of market risk

Semi-annual |The MR3 table below shows the minimum, maximum, average and period-end regulatory VaR, SVaR, incremental risk charge (IRC) and comprehensive risk capital charge. The comprehensive risk charge has not been
applicable since 2019, which was the last time UBS had eligible correlation trading positions.

During the second half of 2023, for the UBS Group excluding Credit Suisse, regulatory VaR, SVaR and IRC were relatively stable on average.

For Credit Suisse, regulatory VaR and SVaR decreased on average, mainly driven by continued strategic migration of positions to UBS and de-risking within Non-core and Legacy .| | UBS Group excluding Credit Suisse | | | | | Credit Suisse | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | For the six-monthperiod ended | For the six-monthperiod ended | For the six-month | period ended | For the six-monthperiod ended | For the six-monthperiod ended | For the six-month | period ended |
| | 31.12.23 | | 30.6.23 | 31.12.22 | 31.12.23 | | 30.6.23 | 31.12.22 |
| USD m | | a | a | a | | a | a | a |
| VaR (10-day 99%) | | | | | | | | |
| 1Maximum value | 126 | | 137 | 134 | | 44 | 114 | 145 |
| 2Average value | | 88 | 83 | 63 | | 34 | 55 | 113 |
| 3Minimum value | | 0 | 24 | 13 | | 23 | 37 | 79 |
| 4Period end | | 30 | 84 | 53 | | 24 | 39 | 85 |
| Stressed VaR (10-day 99%) | | | | | | | | |
| 5Maximum value | 162 | | 193 | 186 | | 64 | 150 | 162 |
| 6Average value | 118 | | 119 | 94 | | 48 | 79 | 113 |
| 7Minimum value | | 62 | 61 | 35 | | 35 | 55 | 81 |
| 8Period end | | 72 | 148 | 78 | | 48 | 63 | 151 |
| Incremental risk charge (99.9%) | | | | | | | | |
| 9Maximum value | 265 | | 284 | 199 | 110 | | 148 | 293 |
| 10Average value | 212 | | 205 | 124 | | 99 | 107 | 160 |
| 11Minimum value | 173 | | 127 | 89 | | 87 | 86 | 88 |
| 12Period end | 191 | | 210 | 171 | | 96 | 102 | 94 |

31 December 2023 Pillar 3 Report |UBS Group | Market risk 77

Value-at-risk

VaR definition
Annual |VaR is a statistical measure of market risk, quantifying the potential market risk losses over a set time horizon (holding period) at an established level of confidence. VaR assumes no change in the Group’s trading positions over the set time horizon.
›Refer to “Market risk” in the “Risk management and control” section of the UBS Group Annual Report 2023, available under
“Annual reporting” atubs.com/investors, for more information about VaR p

Derivation of VaR- and SVaR-based RWA
Annual |VaR and SVaR are used to derive the VaR and SVaR components of the market risk Basel III RWA. This calculation

takes the maximum of the respective period-end VaR measure and the product of the average VaR measure for the 60 business days immediately preceding the period end and a VaR multiplier set by FINMA. The VaR multiplier, which was 3.0 as of 31 December 2023 for both UBS Group excluding Credit Suisse and Credit Suisse, 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 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 Credit Suisse.| VaR- and SVaR-based RWA | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| As of 31.12.23 | | | UBS Group excluding Credit Suisse | | | | |
| 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%) | 46 | 35 | 3.00 | 104 | 1,250% | | 1,305 |
| Stressed VaR (10-day 99%) | 96 | 78 | 3.00 | 233 | 1,250% | | 2,915 |

			Credit Suisse
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%)	24	29	3.00	87	1,250%		1,087
Stressed VaR (10-day 99%)	48	41	3.00	124	1,250%		1,549

Basel III RWA Total6,856 p

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, fees and commissions, and revenues from intraday trading, to provide for a like-for-like comparison. A backtesting exception occurs when backtesting revenues are lower than the previous day’s backtesting VaR.

Statistically, given the 99% confidence level, two or three backtesting exceptions a year can be expected. More than four exceptions could indicate that the VaR model is not performing appropriately, as could too few exceptions over a long period. However, as noted under “VaR limitations” in the “Risk management and control” section of the UBS Group Annual Report 2023, available under “Annual reporting” atubs.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 Chief Risk Officer and the 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 2023.

31 December 2023 Pillar 3 Report |UBS Group | Market risk 78

The actual trading revenues include backtesting and intraday revenues.

For the UBS Group excluding Credit Suisse, there were no new VaR negative backtesting exceptions in the second half of 2023, and the total number of negative backtesting exceptions within the most recent 250-business-day window decreased to zero from one. As 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 period.

For Credit Suisse, there was one new negative backtesting exception in the second half of 2023, and the total number of negative backtesting exceptions within the most recent 250-business-day window increased to three from one by the end of 2023. As 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 period.

31 December 2023 Pillar 3 Report |UBS Group | Market risk 79

Risks not in VaR

Risks not in VaR definition
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.

Risks not in VaR quantification We quantify RniV capital requirements on a monthly basis. For UBS Group excluding Credit Suisse, 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 Credit Suisse, specific RniV models have been developed to compute capital associated with individual risks not captured by the firm’s VaR model.

Risks not in VaR mitigation 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 UBS Group excluding Credit Suisse, 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 2023 were 78% and 82%, respectively. The period-end RWA shown below does not include the time decay add-on.| RniV-based RWA | | | |
| --- | --- | --- | --- |
| As of 31.12.23 | UBS Group excluding Credit Suisse | | |
| USD m | Period-end RWA(A) | RniV add-on(B) | RniV RWA(A x B) |
| Regulatory VaR | 1,305 | 78% | 1,019 |
| Stressed VaR | 2,915 | 82% | 2,396 |
| Total RniV RWA | | | 3,415 |

Credit Suisse USD mRniV RWA Regulatory VaR1,029 Stressed VaR1,606 Total RniV RWA2,635

RniV RWA Total RniV RWA6,050

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 oneyear 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 2023 Pillar 3 Report |UBS Group | Market risk 80

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 Credit Suisse model, and an in-house latent factor technique is employed for the Credit Suisse model, with factor loadings and volatilities homogenized within region / industry / size buckets. For the government bucket, the Credit Suisse model uses the same asset correlation methodology calibrated to sovereign credit default swap (CDS) data, and the UBS Group excluding Credit Suisse 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 Credit Suisse model and to the history of S&P ratings for the Credit Suisse model. The probability of default 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 Credit Suisse model employs a linear (delta) approximation, while for the Credit Suisse 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 31.12.23UBS Group excluding CS Period-end IRCAverage IRCMax. (A, B)Risk weight factorBasel III RWA USD m(A)(B)(C)(D)(C x D)
1912052051,250%2,564

Credit Suisse Period-end IRCAverage IRCMax. (A, B)Risk weight factorBasel III RWA USD m(A)(B)(C)(D)(C x D)
9698981,250%1,225

Basel III RWA Total3,789

31 December 2023 Pillar 3 Report |UBS Group | Market risk 81

Operational risk

Annual |The table below presents an overview of Pillar 3 disclosures separately provided in the UBS Group Annual Report
2023, available under ”Annual reporting” atubs.com/investors.

ORA: Operational risk

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber Details of the approach forRisk management and control–Non-financial risk framework154–155 operational risk capital assessment

for which the bank qualifies Description of the advancedRisk management and control–Advanced measurement approach model157 measurement approaches (AMA) for operational risk p

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 2023, available under “Annual reporting” atubs.com/investors.

IRRBBA: Interest rate risk in the banking book

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber
The nature of interest rate risk in theRisk management and control–Interest rate risk in the banking book131–133

banking book and key assumptions applied Sources of interest rate risk in theRisk management and control–Interest rate risk in the banking book131–133 banking book Interest rate risk management andRisk management and control–Interest rate risk in the banking book131–133 governance

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 (AT1) capital instruments that otherwise would be included under general Basel Committee on Banking Supervision (BCBS) guidance.

As of 31 December 2023, the “Parallel up” scenario was the most severe and would have resulted in a change in EVE of negative USD 5.7bn, or 6.1% of our tier 1 capital (31 December 2022: negative USD 4.6bn, or 7.9%), which is well below the 15% threshold as per the BCBS supervisory outlier test for higher 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 2023 would have been a decrease of USD 0.9bn, or 0.9% (31 December 2022: USD 0.4bn or 0.6%), reflecting the fact that the vast majority of our banking book is accrual accounted or subject to hedge accounting. The “Parallel up” scenario would subsequently have a positive effect on net interest income, assuming a constant balance sheet and a constant product mix.

UBS also applies granular internal interest rate shock scenarios to its banking book positions to monitor the banking book’s specific risk profile.

The more adverse of the two parallel interest rate scenarios with regard to net interest income (NII) over the next 12 months was the “Parallel down” scenario, resulting in a potential change of negative USD 3.2bn.

31 December 2023 Pillar 3 Report |UBS Group | Operational risk 82

IRRBB1: Quantitative information about IRRBB
As of 31.12.23		Delta EVE – Change of economic value of	equity		Delta NII – Change of Net interestincome
USD m		31.12.23		31.12.22	31.12.23	31.12.22
Parallel up2		(5,680)		(4,629)	2,770	2,671
Parallel down2		5,876		4,842	(3,207)	(1,877)
Steepener3		(1,401)		(1,409)
Flattener4			105	344
Short-term up	5	(2,195)		(1,539)
Short-term down	6	2,332		1,683
Maximum7		(5,680)		(4,629)	(3,207)	(1,877)

Period31.12.2331.12.22 Tier 1 capital92,37758,321

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 Both current and previous year delta NII figures are reported as per new SNB guidance on interest rate risk report and include NII due to cash held at central banks. Comparative figures have been restated.| | | | | | | | | | repricing period (in years)Maximum interest rate | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | | | | Average interest rate | modeled interest ratefor exposures with | | |
| As of 31.12.23 | | | | | Volume1 | | repricing period (in years) | | | repricing dates | |
| USD m, except where indicated | | | | Totalof which: CHF | of which: EUR | of which: USD | | Totalof which: CHF | | Totalof which: CHF | |
| | 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 | | |
| Determined | Receivables from interest ratederivatives | | 2,508,896 | 616,064 | 409,667 | 1,333,243 | | 1.27 | 0.80 | | |
| repricing period | 2 | 4 | | | | | | | | | |
| | 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 | | |
| | 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 | | |
| Undetermined | Other receivables on sight | | 2,059 | | 1,013 | 433 | 577 | 0.22 | 0.40 | | |
| repricing period | 3Liabilities on sight in personal andcurrent 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 |

31 December 2023 Pillar 3 Report |UBS Group | Interest rate risk in the banking book 83

									repricing period (in years)for exposures with
As of 31.12.22					Volume		repricing period (in years)	Average interest rate	modeled interest rate	repricing dates
USD m, except where indicated				Totalof which: CHF	of which: EUR	of which: USD		Totalof which: CHF		Totalof which: CHF
	Loans and advances to banks		35,823		6,699	13,845	11,679	0.25	0.40
	Loans and advances to customers		168,791	31,560		20,167	102,433	0.70	0.92
	Money market mortgages		52,658	52,658				0.04	0.04
	Fixed-rate mortgages		113,540	104,247		12	8,868	4.27	4.07
	Financial investments		78,274	19,276		10,575	41,539	3.04	0.97
	Other receivables		140,072		7,083	15,685	95,496	0.30	0.04
Determinedrepricing period	Receivables from interest ratederivatives		777,967	144,946		89,388	498,395	1.51	0.68
	2	4
	Amounts due to banks		(27,566)	(6,712)		(3,365)	(16,943)	1.31	0.16
	Customer deposits		(150,568)		(488)	(8,220)(118,270)		0.39	0.42
	Medium-term notes			(44)	(43)	0		2.85	2.84
	Bonds and covered bonds		(99,097)	(11,523)	(25,582)		(50,041)	2.94	4.40
	Other liabilities		(32,422)	(3,703)		(4,977)	(15,119)	0.12	0.04
	Liabilities from interest rate derivatives		4(769,414)	(234,976)	(66,683)	(420,210)		0.91	0.49
	Loans and advances to banks
	Loans and advances to customers		18,960		2,877	4,394	10,162	0.44	0.99
	Variable-rate mortgages		25,985		19	0	23,747	3.54	1.17
	Other receivables on sight			207	207			1.55	1.55
Undeterminedrepricing period	Liabilities on sight in personal and
	3current accounts		(296,335)	(77,496)	(50,774)	(147,706)		1.68	1.85
	Other liabilities on sight		(12,711)		(240)	(1,838)	(9,572)	0.26	0.04
	Liabilities from customer deposits,callable but not transferable
			(120,967)	(120,967)				1.93	1.93
	Total									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 variablerate 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.
p

31 December 2023 Pillar 3 Report |UBS Group | Interest rate risk in the banking book 84

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 2023, 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 31.12.23 | 1 | | RWA | | LRD | |
| USD m, except where indicated | | | in % | | in % | |
| Required going concern capital | | | | | | |
| Total going concern capital | | | 14.922 | 81,530 | 5.052 | 85,570 |
| Common equity tier 1 capital | | | 10.62 | 58,031 | 3.553 | 60,139 |
| of which: minimum capital | | | 4.50 | 24,593 | 1.50 | 25,431 |
| of which: buffer capital | | | 5.50 | 30,058 | 2.00 | 33,908 |
| of which: countercyclical buffer | | | 0.47 | 2,580 | | |
| Maximum additional tier 1 capital | | | 4.30 | 23,500 | 1.50 | 25,431 |
| of which: additional tier 1 capital | | | 3.50 | 19,128 | 1.50 | 25,431 |
| of which: additional tier 1 buffer capital | | | 0.80 | 4,372 | | |
| Eligible going concern capital | | | | | | |
| Total going concern capital | | | 16.90 | 92,377 | 5.45 | 92,377 |
| Common equity tier 1 capital | | | 14.36 | 78,485 | 4.63 | 78,485 |
| Total loss-absorbing additional tier 1 capital | | 4 | 2.54 | 13,892 | 0.82 | 13,892 |
| of which: high-trigger loss-absorbing additional tier 1 capital | | | 2.32 | 12,678 | 0.75 | 12,678 |
| of which: low-trigger loss-absorbing additional tier 1 capital | | | 0.22 | 1,214 | 0.07 | 1,214 |
| Required gone concern capital | | | | | | |
| Total gone concern loss-absorbing capacity | | 5,6,7 | 10.73 | 58,613 | 3.75 | 63,578 |
| of which: base requirement including add-ons for market share and LRD | | | 10.738 | 58,613 | 3.758 | 63,578 |
| Eligible gone concern capital | | | | | | |
| Total gone concern loss-absorbing capacity | | | 19.60107,106 | | 6.32 | 107,106 |
| Total tier 2 capital | | | 0.10 | 538 | 0.03 | 538 |
| of which: non-Basel III-compliant tier 2 capital | | | 0.10 | 538 | 0.03 | 538 |
| TLAC-eligible senior unsecured debt | | | 19.50106,567 | | 6.29 | 106,567 |
| Total loss-absorbing capacity | | | | | | |
| Required total loss-absorbing capacity | | | 25.64140,143 | | 8.80 | 149,148 |
| Eligible total loss-absorbing capacity | | | 36.50199,483 | | 11.77 | 199,483 |
| Risk-weighted assets / leverage ratio denominator | | | | | | |
| Risk-weighted assets | | | 546,505 | | | |
| Leverage ratio denominator | | | | | 1,695,403 | |

Report 2023, available under “Annual reporting” at ubs.com/investors, for more information. 2 Includes applicable add-ons of 1.59% for risk-weighted assets (RWA) and 0.55% for leverage ratio denominator (LRD), of which 15 basis points for RWA and 5 basis points for LRD reflect the Swiss Financial Market Supervisory Authority (FINMA) Pillar 2 capital add-on of USD 800m related to the supply chain finance funds matter at Credit Suisse. 3 Our minimum CET1 leverage ratio requirement of 3.55% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on requirement based on our Swiss credit business and a 0.05% Pillar 2 capital add-on related to the supply chain finance funds matter at Credit Suisse. 4 Includes outstanding low-trigger loss-absorbing additional tier 1 capital instruments, which are available under the Swiss systemically relevant bank framework to meet the going concern requirements until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements. 5 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. 6 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). 7 As of July 2024, FINMA will have the authority to impose a surcharge of up to 25% of the total going concern capital requirements should obstacles to an SIB’s resolvability be identified in future resolvability assessments. 8 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.
p

31 December 2023 Pillar 3 Report |UBS Group | Going and gone concern requirements and eligible capital 85

Semi-annual |The CCyB1 table below provides details of the risk-weighted assets (RWA) used in the computation of the

countercyclical capital buffer (CCyB) requirement applicable to UBS Group AG consolidated. In the second half of 2023, the CCyB for private-sector exposures in the UK was increased to 2% from 1%. This update increased our bank-specific CCyB requirement to 14 basis points as of 31 December 2023.
›Refer to the “Risk management and control” section of the UBS Group Annual Report 2023, available under ”Annual reporting” at ubs.com/investors, for further 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 | | | 31.12.23 | | | |
| | | used in the computationRisk-weighted assets | | Bank-specific | | |
| Geographical breakdown | Countercyclical capitalbuffer rate, % | of the countercyclical | capital buffer | countercyclical capitalbuffer rate, % | Countercyclical amount | |
| Hong Kong SAR | | 1.00 | 2,4801 | | | |
| Luxembourg | | 0.50 | 8,702 | | | |
| United Kingdom | | 2.00 | 13,506 | | | |
| Sweden | | 2.00 | 1,153 | | | |
| Australia | | 1.00 | 3,072 | | | |
| Germany | | 0.75 | 6,125 | | | |
| France | | 0.50 | 3,862 | | | |
| Netherlands | | 1.00 | 2,644 | | | |
| Sum | | | 41,545 | | | |
| Total | | | 341,501 | | 0.14 | 774 |
| “Market Risk.” | | | | | | |

31 December 2023 Pillar 3 Report |UBS Group | Going and gone concern requirements and eligible capital 86

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| | | deconsolidated, | Effect of | | | |
| --- | --- | --- | --- | --- | --- | --- |
| | Balance sheet inaccordance with | consolidated orproportionally | | Balance sheet in | | |
| | Standards scopeIFRS Accounting | additional consolidatedentities for regulatory | | regulatory scope ofaccordance with | | |
| As of 31.12.23 | of consolidation | consolidation | | consolidation | References | 1 |
| USD m | | | | | | |
| Assets | | | | | | |
| Cash and balances at central banks | 314,148 | | 0 | 314,148 | | |
| Amounts due from banks | 21,161 | | (83) | 21,079 | | |
| Receivables from securities financing transactions measured at amortized cost | 99,039 | | (33) | 99,006 | | |
| Cash collateral receivables on derivative instruments | 50,082 | | (425) | 49,657 | | |
| Loans and advances to customers | 639,844 | | (538) | 639,306 | | |
| Other financial assets measured at amortized cost | 65,498 | | (679) | 64,819 | | |
| Total financial assets measured at amortized cost | 1,189,773 | | (1,757) | 1,188,016 | | |
| Financial assets at fair value held for trading | 169,633 | | (624) | 169,010 | | |
| of which: assets pledged as collateral that may be sold or repledged by counterparties | 51,263 | | | 51,263 | | |
| Derivative financial instruments | 176,084 | | 5 | 176,090 | | |
| Brokerage receivables | 21,037 | | | 21,037 | | |
| Financial assets at fair value not held for trading | 104,018 | | (15,930) | 88,087 | | |
| Total financial assets measured at fair value through profit or loss | 470,773 | | (16,548) | 454,224 | | |
| Financial assets measured at fair value through other comprehensive income | 2,233 | | (49) | 2,184 | | |
| Investments in associates | 2,373 | | 30 | 2,403 | | |
| of which: goodwill | 29 | | | | 29 | 4 |
| Property, equipment and software | 17,849 | | (85) | 17,764 | | |
| Goodwill and intangible assets | 7,515 | | (67) | 7,448 | | |
| of which: goodwill | 6,043 | | | 6,043 | | 4 |
| of which: intangible assets | 1,473 | | (67) | 1,406 | | 5 |
| Deferred tax assets | 10,682 | | (16) | 10,665 | | |
| of which: deferred tax assets recognized for tax loss carry-forwards and unused tax creditscarried forward | 3,086 | | (8) | 3,078 | | 6 |
| of which: deferred tax assets on temporary differences | 7,595 | | (8) | 7,587 | | 10 |
| Other non-financial assets | 16,049 | | 7 | 16,056 | | |
| of which: net defined benefit pension and other post-employment assets | 1,088 | | | 1,088 | | 8 |
| Total assets | 1,717,246 | | (18,486) | 1,698,760 | | |

31 December 2023 Pillar 3 Report |UBS Group | Going and gone concern requirements and eligible capital 87

		deconsolidated,	Effect of
	Balance sheet inaccordance with	consolidated orproportionally		Balance sheet in
	Standards scopeIFRS Accounting	additional consolidatedentities for regulatory		regulatory scope ofaccordance with
As of 31.12.23	of consolidation	consolidation		consolidation	References	1
USD m
Liabilities
Amounts due to banks	70,962		72	71,033
Payables from securities financing transactions measured at amortized cost	14,394			14,394
Cash collateral payables on derivative instruments	41,582		(236)	41,345
Customer deposits	792,029		248	792,276
Debt issued measured at amortized cost	237,817		(1,715)	236,102
of which: amount eligible for high-trigger loss-absorbing additional tier 1 capital	10,744			10,744		9
of which: amount eligible for low-trigger loss-absorbing additional tier 1 capital	1,214			1,214		9
of which: amount eligible for low-trigger loss-absorbing tier 2 capital
Other financial liabilities measured at amortized cost	20,851		(175)	20,675
Total financial liabilities measured at amortized cost	1,177,633		(1,808)	1,175,826
Financial liabilities at fair value held for trading	34,159		(402)	33,757
Derivative financial instruments	192,181		194	192,375
Brokerage payables designated at fair value	42,522			42,522
Debt issued designated at fair value	128,289		14	128,303
Other financial liabilities designated at fair value	29,484		(15,992)	13,492
Total financial liabilities measured at fair value through profit or loss	426,635		(16,187)	410,448
Provisions and contingent liabilities	12,250		(541)	11,709
Other non-financial liabilities	14,089		22	14,110
of which: amount eligible for high-trigger loss-absorbing capital (Deferred ContingentCapital Plan (DCCP))	1,424			1,424		9
of which: deferred tax liabilities related to goodwill	312				312	4
of which: deferred tax liabilities related to other intangible assets	176				176	5
Total liabilities	1,630,607		(18,513)	1,612,094
Equity
Share capital	346		0		347	1
Share premium	13,216		87	13,303		1
Treasury shares	(4,796)			(4,796)		3
Retained earnings	74,880		(153)	74,727		2
Other comprehensive income recognized directly in equity, net of tax	2,462		71	2,533		3
of which: unrealized gains / (losses) from cash flow hedges	(3,109)			(3,109)		7
Equity attributable to shareholders	86,108		5	86,113
Equity attributable to non-controlling interests	531		22		553
Total equity	86,639		27	86,666
Total liabilities and equity	1,717,246		(18,486)	1,698,760
ubs.com/investors, for more information about the DCCP.						p

31 December 2023 Pillar 3 Report |UBS Group | Going and gone concern requirements and eligible capital 88

Semi-annual |The CC1 table below provides the composition of capital in the format prescribed by the BCBS and FINMA, and is based on BCBS Basel III rules, unless stated otherwise. Reference is made to items reconciling to the balance sheet

under the regulatory scope of consolidation as disclosed in the “CC2: Reconciliation of accounting balance sheet to

balance sheet under the regulatory scope of consolidation” table in this section.
›Refer to the documents titled “Capital and total loss-absorbing capacity instruments of UBS Group AG (consolidated), UBS AG and Credit Suisse AG (both consolidated and standalone) – key features” and “UBS Group AG consolidated capital instruments and TLAC-eligible senior unsecured debt,” available under “Bondholder information” atubs.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 31.12.23 | | Amounts | References1 |
| USD m, except where indicated | | | |
| Common Equity Tier 1 capital: instruments and reserves | | | |
| 1Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus | | 13,649 | 1 |
| 2Retained earnings | | 74,727 | 2 |
| 3Accumulated other comprehensive income (and other reserves) | | (2,263) | 3 |
| 6Common Equity Tier 1 capital before regulatory adjustments | | 86,113 | |
| Common Equity Tier 1 capital: regulatory adjustments | | | |
| 7Prudent valuation adjustments | | (368) | |
| 8Goodwill (net of related tax liability) | | (5,750) | 4 |
| 9Other intangibles other than mortgage servicing rights (net of related tax liability) | | (894) | 5 |
| 10Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax liability) | 2 | (3,136) | 6 |
| 11Cash flow hedge reserve | | 3,109 | 7 |
| 12Shortfall of provisions to expected losses | | (713) | |
| 13Securitization gain on sale | | | |
| 14Gains and losses due to changes in own credit risk on fair valued liabilities | | 1,202 | |
| 15Defined benefit pension fund net assets | | (965) | 8 |
| 16Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet) | | (1,270) | 9 |
| 17Reciprocal cross-holdings in common equity | | | |
| 17bImmaterial investments (CET1 items) | | | |
| 20Mortgage servicing rights (amount above 10% threshold) | | | |
| 21Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) | | | 10 |
| 22Amount exceeding the 15% threshold | | | |
| 23Of which: significant investments in the common stock of financials | | | |
| 24Of which: mortgage servicing rights | | | |
| 25Of which: deferred tax assets arising from temporary differences | | | |
| 26Expected losses on equity investment under the PD / LGD approach | | | |
| 26bOther adjustments | | 1,1583,4 | |
| 28Total regulatory adjustments to Common Equity Tier 1 | | (7,628) | |
| 29Common Equity Tier 1 capital (CET1) | | 78,485 | |

31 December 2023 Pillar 3 Report |UBS Group | Going and gone concern requirements and eligible capital 89

CC1: Composition of regulatory capital (continued)
As of 31.12.23			Amounts	References1
USD m, except where indicated
Additional Tier 1 capital: instruments
30Directly issued qualifying additional Tier 1 instruments plus related stock surplus			13,892
31Of which: classified as equity under applicable accounting standards
32Of which: classified as liabilities under applicable accounting standards			13,892
36Additional Tier 1 capital before regulatory adjustments			13,892
Additional Tier 1 capital: regulatory adjustments
37Investments in own additional Tier 1 instruments	5
38Reciprocal cross-holdings in additional Tier 1 instruments
38aQualified holdings where a significant influence is exercised with other owners (AT1 instruments)
38bImmaterial investments (AT1 instruments)
41Other adjustments
42Regulatory adjustments applied to additional Tier 1 due to insufficient Tier 2 to cover deductions
43Total regulatory adjustments to additional Tier 1 capital
44Additional Tier 1 capital (AT1)			13,892	9
45Tier 1 capital (T1 = CET1 + AT1)			92,377
Tier 2 capital: instruments and provisions
46Directly issued qualifying Tier 2 instruments plus related stock surplus			16
50Provisions
51Tier 2 capital before regulatory adjustments			1
Tier 2 capital: regulatory adjustments
52Investments in own Tier 2 instruments	5
53Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities
53bImmaterial investments (T2 instruments and other TLAC instruments)
56Other adjustments
56aExcess of the adjustments, which are allocated to the AT1 capital
57Total regulatory adjustments to Tier 2 capital
58Tier 2 capital (T2)			1
59Total regulatory capital (TC = T1 + T2)			92,378
60Total risk-weighted assets			546,505
Capital ratios and buffers
61Common Equity Tier 1 (as a percentage of risk-weighted assets)			14.36
62Tier 1 (as a percentage of risk-weighted assets)			16.90
63Total capital (as a percentage of risk-weighted assets)			16.90
64Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbencyrequirement, expressed as a percentage of risk-weighted assets)			3.64
65Of which: capital conservation buffer requirement		7	2.50
66Of which: bank-specific countercyclical buffer requirement			0.14
67Of which: higher loss absorbency requirement			1.00
68Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirements			8.90
Amounts below the thresholds for deduction (before risk weighting)
72Non-significant investments in the capital and other TLAC liabilities of other financial entities			3,871
73Significant investments in the common stock of financial entities			3,054
74Mortgage servicing rights (net of related tax liability)			307
75Deferred tax assets arising from temporary differences (net of related tax liability)			6,591
Applicable caps on the inclusion of provisions in Tier 2
77Cap on inclusion of provisions in Tier 2 under standardized approach
79Cap 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 931m in compensation-related charge for regulatory capital purposes. 4 Includes USD 4,316m related to transitional CET1 purchase price allocation adjustments. Refer to the “Key metrics” section of this report for more information. 5 Under IFRS Accounting Standards, debt issued and subsequently repurchased is treated as extinguished. 6 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. 7 BCBS requirements are exceeded by our Swiss SRB requirements. Refer to the “Capital, liquidity and funding, and balance sheet“ section of the UBS Group Annual Report 2023, available under ”Annual reporting” at ubs.com/in vestors, for more information about the Swiss SRB requirements.
p

31 December 2023 Pillar 3 Report |UBS Group | Going and gone concern requirements and eligible capital 90

Prudent valuation adjustments

Annual |The PV1 table below provides a breakdown of prudent valuation adjustments to common equity tier 1 capital.
These adjustments are incremental to those made under IFRS 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 2023, the prudent valuation adjustment had increased by USD 167m to USD 368m compared with the prior year. This was primarily driven by the acquisition of the Credit Suisse Group, which resulted in an increase of USD 191m. Excluding that acquisition, the prudent valuation adjustment decreased by USD 23m, primarily driven by reduced exposure and tighter credit spreads.
›Refer to “Note 21 Fair value measurement” in the “Consolidated financial statements” section of the UBS Group Annual Report 2023, available under “Annual reporting” atubs.com/investors, for more information about the valuation adjustments in the

financial accounts and related governance| PV1: Prudent valuation adjustments (PVA) | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| As of 31.12.23 | | | | | | | | | |
| | | | | | | | Of which: Inthe trading | Of which: Inthe banking | |
| USD m | | EquityInterest rates | | FXCredit | Commodities | Total | | book | book |
| 1Closeout uncertainty, of which: | | (33) | (159) | (3) | (84) | 0(279) | | (157) | (123) |
| 2Mid-market value | | | | | | | | | |
| 3Closeout cost | | | | | | | | | |
| 4Concentration | | (33) | (159) | (3) | (84) | 0(279) | | (157) | (123) |
| 5Early termination | | | | | | | | | |
| 6Model risk | | | | | | | | | |
| 7Operational risk | | | | | | | | | |
| 8Investing and funding costs | | | | | | | | | |
| 9Unearned credit spreads | | 0 | 0 | 0 | (89) | 0 | (89) | (89) | 0 |
| 10Future administrative costs | | | | | | | | | |
| 11Other | | | | | | | | | |
| 12Total adjustment | 1 | (33) | (159) | (3) | (173) | 0(368) | | (245) | (123) |

As of 31.12.22
1Closeout uncertainty, of which:		(17)	(77)	0	(64)	0(158)		(34)	(123)
2Mid-market value
3Closeout cost
4Concentration		(17)	(77)	0	(64)	0(158)		(34)	(123)
5Early termination
6Model risk
7Operational risk
8Investing and funding costs
9Unearned credit spreads		0	0	0	(43)	0	(43)	(43)	0
10Future administrative costs
11Other
12Total adjustment	1	(17)	(77)	0(107)		0(201)		(77)	(123)

31 December 2023 Pillar 3 Report |UBS Group | Going and gone concern requirements and eligible capital 91

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 2023, our eligible additional tier 1 (AT1) instruments increased by USD 0.9bn, mainly driven by two

issuances of AT1 capital instruments of USD 3.5bn and positive impacts from interest rate risk hedge, foreign currency

translation and other effects. These increases were partly offset by USD 3.0bn equivalent of AT1 capital instruments that

ceased to be eligible as going concern capital when we issued notice of redemption of the instruments in the second

half of 2023.

Non-regulatory capital instruments increased by USD 4.4bn, mainly due to eight new issuances of USD 4.8bn equivalent

of TLAC-eligible senior unsecured debt instruments, as well as positive impacts from interest rate risk hedge, foreign

currency translation and other effects, partly offset by the redemption of USD 3.5bn equivalent of TLAC-eligible senior

unsecured debt.| TLAC1: TLAC composition for G-SIBs (at resolution group level) | | | | |
| --- | --- | --- | --- | --- |
| | | 31.12.231 | 30.6.231 | 31.12.22 |
| USD m, except where indicated | | | | |
| Regulatory capital elements of TLAC and adjustments | | | | |
| 1Common Equity Tier 1 capital (CET1) | | 78,485 | 79,080 | 45,457 |
| 2Additional Tier 1 capital (AT1) before TLAC adjustments | | 13,892 | 13,030 | 12,864 |
| 3AT1 ineligible as TLAC as issued out of subsidiaries to third parties | | | | |
| 4Other adjustments | | | | |
| 5Total AT1 instruments eligible under the TLAC framework | | 13,892 | 13,030 | 12,864 |
| 6Tier 2 capital (T2) before TLAC adjustments | | 1 | 0 | 484 |
| 7Amortized portion of T2 instruments where remaining maturity > 1 year | | | | 1,938 |
| 8T2 capital ineligible as TLAC as issued out of subsidiaries to third parties | | | | |
| 9Other adjustments | | | | |
| 10Total T2 instruments eligible under the TLAC framework | | 1 | 0 | 2,422 |
| 11TLAC arising from regulatory capital | | 92,378 | 92,110 | 60,743 |
| Non-regulatory capital elements of TLAC | | | | |
| 12External TLAC instruments issued directly by the bank and subordinated to excluded liabilities | | | | |
| 13External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLACterm sheet requirements | | 106,567 | 102,214 | 44,033 |
| 14of which: amount eligible as TLAC after application of the caps | | | | |
| 15External TLAC instruments issued by funding vehicles prior to 1 January 2022 | | 538 | 539 | 536 |
| 16Eligible ex ante commitments to recapitalize a G-SIB in resolution | | | | |
| 17TLAC arising from non-regulatory capital instruments before adjustments | | 107,106 | 102,753 | 44,569 |
| Non-regulatory capital elements of TLAC: adjustments | | | | |
| 18TLAC before deductions | | 199,484 | 194,863 | 105,312 |
| 20Deduction of investments in own other TLAC liabilities | 2 | | | |
| 21Other adjustments to TLAC | | | | |
| 22TLAC after deductions | | 199,484 | 194,863 | 105,312 |
| Risk-weighted assets and leverage exposure measure for TLAC purposes | | | | |
| 23Total risk-weighted assets adjusted as permitted under the TLAC regime | | 546,505 | 556,603 | 319,585 |
| 24Leverage exposure measure | | 1,695,403 | 1,677,877 | 1,028,461 |
| TLAC ratios and buffers | | | | |
| 25TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime) | | 36.50 | 35.01 | 32.95 |
| 26TLAC (as a percentage of leverage exposure) | | 11.77 | 11.61 | 10.24 |
| | | 8.90 | 8.55 | 9.72 |
| 28Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher lossabsorbency requirement, expressed as a percentage of risk-weighted assets) | | 3.64 | 3.61 | 3.57 |
| 29of which: capital conservation buffer requirement | | 2.50 | 2.50 | 2.50 |
| 30of which: bank-specific countercyclical buffer requirement | | 0.14 | 0.11 | 0.07 |
| 31of which: higher loss absorbency requirement | | 1.00 | 1.00 | 1.00 |
| extinguished. | | | | |

31 December 2023 Pillar 3 Report |UBS Group | Total loss-absorbing capacity 92

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 (DCCP) awards to UBS Group employees, which qualify as Basel III AT1 capital on a UBS Group consolidated basis and totaled USD 1,935m as of 31 December 2023 (30 June 2023:
USD 1,912m). The related liabilities of UBS Group AG on a standalone basis of USD 1,412m (30 June 2023: USD 1,298m)
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 2023, the TLAC available on a UBS Group AG consolidated basis amounted to USD 199,484m
(30 June 2023: USD 194,863m).
›Refer to “Holding company and significant regulated subsidiaries and sub-groups” atubs.com/investorsfor more information

about UBS Group AG standalone for the year ended 31 December 2023 ›Refer to “Bondholder information” atubs.com/investorsfor 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 31.12.23 | | | Creditor ranking | | | Total |
| USD m | | | 1 | 2 | 3 | |
| | | | | Bail-in debt andpari passu | | |
| 1Description of creditor ranking | | Common shares(most junior) | Additional Tier 1 | (most senior)liabilities | | |
| 2Total capital and liabilities net of credit risk mitigation | | 65,567 | 215,347 | 122,906 | | 203,821 |
| 3Subset of row 2 that are excluded liabilities | 1 | | | | | |
| 4Total capital and liabilities less excluded liabilities (row 2 minus row 3) | | 65,567 | 15,347 | 3,4,5122,906 | 6,7 | 203,821 |
| 5Subset of row 4 that are potentially eligible as TLAC | | 65,567 | 12,512 | 115,031 | 8 | 193,111 |
| 6Subset of row 5 with 1 year ≤ residual maturity < 2 years | | | | 16,163 | 9 | 16,163 |
| 7Subset of row 5 with 2 years ≤ residual maturity < 5 years | | | | | 47,446 | 47,446 |
| 8Subset of row 5 with 5 years ≤ residual maturity < 10 years | | | | | 37,943 | 37,943 |
| 9Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities | | | | | 13,480 | 13,480 |
| 10Subset of row 5 that is perpetual securities | | 65,567 | 12,512 | | | 78,080 |

shareholders. 3 Includes interest expense accrued on AT1 capital instruments, which is not eligible as TLAC. 4 An AT1 instrument in the amount of USD 0.6bn was redeemed and AT1 instruments in a total amount of USD 3.5bn were issued during the six months ended 31 December 2023. 5 Includes an AT1 instrument in the amount of USD 2.5bn, the call of which was announced on 4 December 2023 (call date 31 January 2024). 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 3.5bn was redeemed and bail-in debt of USD 4.8bn was issued during the six months ended 31 December 2023.
8 Bail-in debt of USD 0.8bn has residual maturity of less than one year and is not potentially eligible as TLAC. 9 Includes bail-in debt in the amount of USD 0.5bn, the call of which was announced on 11 January 2024 (redemption date 30 January 2024).
p

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 2023 Pillar 3 Report |UBS Group | Total loss-absorbing capacity 93

Difference between the Swiss SRB and BCBS leverage ratio

The LRD is the same under Swiss systemically relevant bank (SRB) and BCBS rules. However, there is a difference in the capital numerator between the two frameworks. Under BCBS rules only common equity tier 1 and additional tier 1 capital are included in the numerator. Under Swiss SRB rules UBS is required to meet going and gone concern leverage ratio requirements. Therefore, depending on the requirement, the numerator includes tier 1 capital instruments, tier 2 capital instruments and / or total loss-absorbing capacity-eligible senior unsecured debt.| Reconciliation of IFRS Accounting Standards total assets to BCBS Basel III total on-balance sheet exposures excluding | | | |
| --- | --- | --- | --- |
| derivatives and securities financing transactions | | | |
| USD m | 31.12.23 | 30.9.23 | 31.12.22 |
| On-balance sheet exposures | | | |
| IFRS Accounting Standards total assets | 1,717,2461 | 1,644,0061 | 1,104,364 |
| | (19,086) | (16,748) | (13,342) |
| | 3,235 | 2,941 | |
| Less carrying amount of derivative financial instruments in IFRS Accounting Standards total assets | (218,540) | (242,949) | (185,159) |
| Less carrying amount of securities financing transactions in IFRS Accounting Standards total assets | (154,017) | (145,348) | (89,882) |
| Adjustments to accounting values | 3231 | 5161 | |
| On-balance sheet items excluding derivatives and securities financing transactions, but including collateral | 1,329,162 | 1,242,418 | 815,981 |
| Asset amounts deducted in determining BCBS Basel III tier 1 capital | (11,460) | (12,081) | (10,826) |
| Transitional CET1 purchase price allocation adjustments | 4,211 | 4,498 | |
| Total on-balance sheet exposures (excluding derivatives and securities financing transactions) | 1,321,913 | 1,234,835 | 805,155 |

Quarterly |During the fourth quarter of 2023, the LRD increased by USD 79.6bn to USD 1,695.4bn. The increase was primarily driven by currency effects of USD 68.4bn and asset size and other movements of USD 11.1bn.

On-balance sheet exposures (excluding derivatives and securities financing transactions) increased by USD 86.7bn, mainly due to currency effects of USD 59.2bn and asset size and other movements of USD 27.5bn. The asset size movement was mainly driven by higher central bank balances resulting primarily from customer deposits and net new issuances of long-term debt, and higher trading portfolio assets, partly offset by lower lending balances.

Derivative exposures decreased by USD 15.3bn, mainly due to asset size and other movements of USD 17.6bn, partly offset by currency effects of USD 2.2bn. The asset size movement was mainly due to market-driven decreases in foreign exchange and interest rate contracts and lower trading volumes across products.

Securities financing transactions increased by USD 8.3bn, mainly due to asset size and other movements of USD 5.0bn and currency effects of USD 3.3bn. The asset size movement was predominantly reflecting net new excess cash reinvestment trades.

Off-balance sheet items decreased by USD 0.5bn, mainly due to asset size and other movements of USD 3.8bn, partly offset by currency effects of USD 3.3bn. The asset size movement was mainly due to a decrease in guarantees and commitments.
›Refer to “Leverage ratio denominator” in the “Risk, capital, liquidity and funding, and balance sheet” section of the UBS Group fourth quarter 2023 report, available under “Quarterly reporting” atubs.com/investors, for more information

31 December 2023 Pillar 3 Report |UBS Group | Leverage ratio 94

LR1: BCBS Basel III leverage ratio summary comparison
USD m		31.12.23	30.9.23	31.12.22
1Total consolidated assets as per published financial statements		1,717,2461	1,644,0061	1,104,364
purposes but outside the scope of regulatory consolidation	2	(30,545)	(28,829)	(24,169)
from the leverage ratio exposure measure
4Adjustments for derivative financial instruments		(90,417)	(99,484)	(94,893)
5Adjustment for securities financing transactions (i.e., repos and similar secured lending)		11,422	11,763	8,741
6Adjustment for off-balance sheet items (i.e., conversion to credit equivalent amounts of off-balance sheet exposures)		79,927	80,406	34,416
7Other adjustments		7,7691	7,9561
7aof which: Transitional CET1 purchase price allocation adjustments		4,211	4,498
7bof which: consolidated entities under the regulatory scope of consolidation		3,235	2,941
8Leverage ratio exposure (leverage ratio denominator)		1,695,403	1,615,817	1,028,461

LR2: BCBS Basel III leverage ratio common disclosure USD m, except where indicated31.12.2330.9.2331.12.22| On-balance sheet exposures | | | |
| --- | --- | --- | --- |
| 1On-balance sheet items (excluding derivatives and securities financing transactions (SFTs), but including collateral) | 1,329,162 | 1,242,418 | 815,981 |
| 2(Asset amounts deducted in determining Basel III Tier 1 capital) | (11,460) | (12,081) | (10,826) |
| 2aTransitional CET1 purchase price allocation adjustments | 4,211 | 4,498 | |
| 3Total on-balance sheet exposures (excluding derivatives and SFTs) | 1,321,913 | 1,234,835 | 805,155 |

Derivative exposures
4Replacement cost associated with all derivatives transactions (i.e., net of eligible cash variation margin)			62,634	77,423	52,184
5Add-on amounts for PFE associated with all derivatives transactions			107,548	112,436	72,077
7(Deductions of receivables assets for cash variation margin provided in derivatives transactions)			(31,746)	(34,088)	(22,067)
8(Exempted QCCP leg of client-cleared trade exposures)			(13,092)	(15,643)	(12,413)
9Adjusted effective notional amount of all written credit derivatives	1		132,275	161,295	41,188
10(Adjusted effective notional offsets and add-on deductions for written credit derivatives)		2	(129,495)	(157,958)	(40,702)
11Total derivative exposures			128,123	143,465	90,266

Securities financing transaction exposures
12Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions	259,336	240,670	177,828
13(Netted amounts of cash payables and cash receivables of gross SFT assets)	(105,319)	(95,322)	(87,946)
14CCR exposure for SFT assets	11,422	11,763	8,741
15Agent transaction exposures
16Total securities financing transaction exposures	165,439	157,111	98,623

Other off-balance sheet exposures
17Off-balance sheet exposure at gross notional amount	311,745	303,212	111,555
18(Adjustments for conversion to credit equivalent amounts)	(231,818)	(222,806)	(77,139)
19Total off-balance sheet items	79,927	80,406	34,416
Total exposures (leverage ratio denominator)	1,695,403	1,615,817	1,028,461

Capital and total exposures (leverage ratio denominator)
20Tier 1 capital	92,3773	90,3693	58,321
21Total exposures (leverage ratio denominator)	1,695,403	1,615,817	1,028,461

Leverage ratio 22Basel III leverage ratio (%)5.435.635.7 1 Includes protection sold, including agency transactions. 2 Protection sold can be offset with protection bought on the same underlying reference entity, provided that the conditions according to the Basel III leverage ratio framework and disclosure requirements are met. 3 Information as of 31 December 2023 and 30 September 2023 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 2023, available under “Ann ual reporting” at ubs.com/investors, for more information.

31 December 2023 Pillar 3 Report |UBS Group | Leverage ratio 95

Liquidity and funding

Liquidity coverage ratio

Quarterly |We monitor the liquidity coverage ratio (the LCR) in all significant currencies in order to manage any currency
mismatch between high-quality liquid assets (HQLA) and the net expected cash outflows in times of stress.p

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber

Concentration of funding sourcesCapital, liquidity and funding, and balance– Balance sheet and off-balance sheet: Liabilities by product and 177 sheetcurrency

Concentration of funding sourcesCapital, liquidity and funding, and balance– Liquidity and funding management:
171–172 sheetFunding management

Currency mismatch in the LCRCapital, liquidity and funding, and balance– Liquidity and funding management:
172 sheetLiquidity coverage ratio

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 2023, our HQLA increased USD 48.1bn to USD 415.6bn, mostly driven by higher customer deposits and proceeds received from debt issuances and negative net new loans. The overall composition of HQLA remained unchanged.

High-quality liquid assets (HQLA)

Average 4Q231Average 3Q231 Level 1Level 2TotalLevel 1Level 2Total weightedweightedweightedweightedweightedweighted liquidityliquidityliquidityliquidityliquidityliquidity USD bn, except where indicatedvalue2value2value2value2value2value2 Cash balances3297.8297.8264.2264.2 Securities (on- and off-balance sheet)92.425.4117.880.223.2103.3 Total HQLA4390.225.4415.6344.323.2367.5 1 Calculated based on an average of 63 data points in the fourth quarter of 2023 and 63 data points in the third quarter of 2023. 2 Calculated after the application of haircuts and, where applicable, caps on Level 2 assets. 3 Includes cash and balances with central banks and other eligible balances as prescribed by FINMA. 4 Calculated in accordance with FINMA requirements.
p

31 December 2023 Pillar 3 Report |UBS Group | Liquidity and funding 96

LCR development during the fourth quarter of 2023
Quarterly |In the fourth quarter of 2023, the quarterly average LCR of the UBS Group increased 19.1 percentage points to 215.7%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA).

The movement in the average LCR was primarily driven by a USD 48.1bn increase in HQLA to USD 415.6bn, mostly driven by higher customer deposits and proceeds received from debt issuances and negative net new loans. The effect of the increase in average HQLA was slightly offset by a USD 5.5bn increase in average net cash outflows, to USD 192.8bn.
That increase was due to lower net inflows from securities financing transactions and lower inflows from lending assets, partly offset by lower outflows from debt issued.| LIQ1: Liquidity coverage ratio | | | | |
| --- | --- | --- | --- | --- |
| | Average 4Q23 | 1 | Average 3Q23 | 1 |
| USD bn, except where indicated | Unweightedvalue | Weightedvalue | Unweightedvalue | Weightedvalue |
| | | 2 | | 2 |
| High-quality liquid assets (HQLA) | | | | |
| 1Total HQLA | 420.4 | 415.6 | 371.8 | 367.5 |

Cash outflows
2Retail deposits and deposits from small business customers		348.8	39.9	350.9	39.9
3of which: stable deposits		32.4	1.2	35.2	1.2
4of which: less stable deposits		316.4	38.8	315.7	38.6
5Unsecured wholesale funding		278.3	138.0	279.5	138.6
6of which: operational deposits (all counterparties)		71.1	17.6	73.4	18.2
7of which: non-operational deposits (all counterparties)		190.4	103.5	187.7	102.1
8of which: unsecured debt		16.9	16.9	18.3	18.3
9Secured wholesale funding			71.9		70.8
10Additional requirements:		232.6	54.5	233.5	56.1
11of which: outflows related to derivatives and other transactions		110.4	27.8	107.0	28.2
12of which: outflows related to loss of funding on debt products	3	0.2	0.2	0.1	0.1
13of which: committed credit and liquidity facilities		122.0	26.5	126.4	27.8
14Other contractual funding obligations		27.7	26.9	29.4	28.7
15Other contingent funding obligations		384.1	10.9	432.8	10.7
16Total cash outflows			342.1		344.9

Cash inflows
17Secured lending	240.7	78.8	246.6	81.1
18Inflows from fully performing exposures	88.4	40.7	94.5	42.4
19Other cash inflows	29.8	29.8	34.0	34.0
20Total cash inflows	358.9	149.3	375.1	157.6

	Average 4Q23	1	Average 3Q23	1
USD bn, except where indicated	Total adjustedvalue		Total adjustedvalue
		4		4
Liquidity coverage ratio (LCR)
21Total HQLA	415.6		367.5
22Net cash outflows	192.8		187.3
23LCR (%)	215.7		196.5

31 December 2023 Pillar 3 Report |UBS Group | Liquidity and funding 97

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 2023, available under “Annual reporting”
atubs.com/investors.

LIQA: Liquidity risk management

UBS Group Annual Report 2023 page Pillar 3 disclosure requirementUBS Group Annual Report 2023 sectionDisclosurenumber

Liquidity risk management,Capital, liquidity and funding, and–Liquidity and funding management: Strategy, objectives and170 including risk tolerance and target /balance sheetgovernance limit setting, monitoring and reporting, including policies and practices, as well as governance and governance structure

Funding risk strategy andCapital, liquidity and funding, and–Liquidity and funding management: Funding management170–172 management: objective,balance sheetand Strategy, objectives and governance diversification of funding sources, limits and targets approach

Liquidity risk management andCapital, liquidity and funding, and–Liquidity and funding management: Liquidity and funding170–171 strategy: objective, diversification ofbalance sheetstress testing and Strategy, objectives and governance liquid assets, limits and targets approach

Stress testing approach and stressCapital, liquidity and funding, and–Liquidity and funding management: Liquidity and funding170–171
scenario descriptionbalance sheetstress testing

Contingency funding planCapital, liquidity and funding, and–Liquidity and funding management: Contingency funding172
balance sheetplan

Asset encumbrance (encumbered,Capital, liquidity and funding, and–Balance sheet and off-balance sheet: Asset encumbrance174–175 unencumbered and assets thatbalance sheet cannot be pledged as collateral)

Limitations on the transferability ofCapital, liquidity and funding, and–Liquidity and funding management / Liquidity coverage ratio:172 liquiditybalance sheetTrapped liquidity at Group level (High-quality liquid assets paragraph)

Maturity of assets and liabilities toConsolidated financial statements–Note 24 Maturity analysis of assets and liabilities384–386 provide a view on the balance sheet and off-balance sheet structure

31 December 2023 Pillar 3 Report |UBS Group | Liquidity and funding 98

Net stable funding ratio

Net stable funding ratio development during the fourth quarter of 2023

Semi-annual |As of 31 December 2023, the net stable funding ratio of the UBS Group increased 3.9 percentage points to 124.7%, remaining above the prudential requirement communicated by FINMA.

Available stable funding increased by USD 53.7bn to USD 926.4bn, reflecting higher customer deposits, debt securities

issued and regulatory capital.

Required stable funding increased by USD 20.2bn to USD 743.2bn, predominantly reflecting higher trading and lending

assets.
›Refer to “Liquidity and funding management” in the “Capital, liquidity and funding, and balance sheet” section of the UBS Group
Annual Report 2023, available under ”Annual reporting” atubs.com/investors, for more information| LIQ2: Net stable funding ratio (NSFR) | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | 31.12.23 | | | | 30.9.23 | | |
| | Unweighted value by residual maturity | | | | Unweighted value by residual maturity | | | |
| USD bn | No Maturity< 6 months | 6 months to< 1 year | ≥ 1 year | WeightedValue | No Maturity< 6 months | 6 months to< 1 year | ≥ 1 year | WeightedValue |
| Available stable funding (ASF) item | | | | | | | | |
| 1Capital: | 86.3 | | 13.2 | 99.5 | 85.0 | | 9.4 | 94.4 |
| 2Regulatory Capital | 86.3 | | 12.7 | 99.0 | 85.0 | | 8.9 | 93.9 |
| 3Other Capital Instruments | | | 0.5 | 0.5 | | | 0.5 | 0.5 |
| 4Retail deposits and deposits from small businesscustomers: | | 400.5 | 20.614.9 | 395.6 | | 379.0 | 18.713.0 | 372.7 |
| 5Stable deposits | | 33.3 | 0.00.0 | 31.6 | | 34.9 | 0.00.0 | 33.1 |
| 6Less stable deposits | | 367.3 | 20.614.9 | 364.0 | | 344.1 | 18.713.0 | 339.5 |
| 7Wholesale Funding: | | 550.7 | 58.0248.2 | 421.1 | | 513.9 | 64.6227.8 | 394.0 |
| 8Operational Deposits | | 79.7 | | 39.8 | | 72.8 | | 36.4 |
| 9Other wholesale funding | | 471.0 | 58.0248.2 | 381.2 | | 441.1 | 64.6227.8 | 357.6 |
| 10Liabilities with matching interdependent assets | | 3.8 | | | | 3.8 | | |
| 11Other liabilities: | 40.8 | 120.6 | 9.3 | 10.2 | 44.2 | 131.3 | 0.00.8 | 11.6 |
| 12NSFR derivative liabilities | | | 8.5 | 1 | | | | |
| 13All other liabilities and equity not included in theabove categories | 40.8 | 120.6 | 0.8 | 10.2 | 44.2 | 131.3 | 0.00.8 | 11.6 |
| 14Total ASF | | | | 926.4 | | | | 872.7 |

Required stable funding (RSF) item
15Total NSFR high-quality liquid assets (HQLA)			38.2				28.9
16Deposits held at other financial institutions foroperational purposes	13.6			7.1	13.9		7.2
17Performing loans and securities:	45.5301.9	55.7	509.9565.2	44.2	292.2	54.1490.7	548.7
18Performing loans to financial institutions secured byLevel 1 HQLA or Level 2a HQLA	84.1	0.4	0.210.8		72.8	0.40.1	8.0
19Performing loans to financial institutions secured byLevel 2b HQLA or non-HQLA and unsecured
performing loans to financial institutions	67.1	8.8	53.871.4		73.6	11.660.5	80.5
loans to sovereigns, central banks and PSEs, of which:	0.7122.8	24.2	175.4212.7		118.3	21.9169.9	206.3
21With a risk weight of less than or equal to 35%under Basel II standardised approach for credit risk	1.012.2	0.2	8.1	7.0	8.8	0.18.0	6.1
22Performing residential mortgages, of which:	24.9	20.3	259.0211.0		24.7	17.7240.3	196.5
23With a risk weight of less than or equal to 35%under Basel II standardised approach for credit risk	12.1	10.5	236.5180.4		11.8	9.2217.8	166.3
24Securities that are not in default and do not qualify asHQLA, including exchange-traded equities	44.8	3.12.0	21.659.3	44.2	2.8	2.619.9	57.5
25Assets with matching interdependent liabilities	3.9				3.8
26Other assets:	39.641.4	0.2	152.8126.7	44.7	56.2	0.1151.8	132.4
27Physical traded commodities, including gold	2.0			1.7	1.9	0.0	1.6
28Assets posted as initial margin for derivative contractsand contributions to default funds of CCPs			42.035.7			41.3	35.1
29NSFR derivative assets			1			5.6	15.6
30NSFR derivative liabilities before deduction of variation							1
margin posted			81.2116.2			79.8	116.0
31All other assets not included in the above categories	37.641.4	0.2	29.673.0	42.8	56.2	0.125.1	74.2
32Off-balance sheet items	21.7	8.4	101.0	6.0	18.4	9.398.5	5.7
33Total RSF			743.2				722.9
34Net stable funding ratio (%)			124.7				120.7

31 December 2023 Pillar 3 Report |UBS Group | Liquidity and funding 99

Remuneration

Annual |Pillar 3 disclosures on remuneration are separately provided on pages 202–203 and pages 222–270 in the UBS
Group Annual Report 2023, available under “Annual reporting” atubs.com/investors.p

Requirements for global systemically important banks

and related 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 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, crossjurisdictional activity, interconnectedness, substitutability / financial institution infrastructure, and complexity.

In November 2023, the FSB, in consultation with the BCBS and national authorities, published the 2023 list of G-SIBs and Credit Suisse had moved below the threshold for G-SIB designation, no longer being considered a G-SIB.

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, based on the year-end 2022 indicators, the additional CET1 capital buffer requirement for the UBS Group will increase to 1.5%, from 1.0%, as of 1 January 2025. This increase follows the acquisition of the Credit Suisse Group in June 2023. As our Swiss systemically relevant bank 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 is expected to enter into force on 1 January 2025. We do not expect these changes to increase our additional CET1 capital buffer requirement.

We provide our G-SIB indicators as of 31 December 2022 under “Pillar 3 disclosures” atubs.com/investors. Our G-SIB
indicators as of 31 December 2023 will be published in July 2024 under “Pillar 3 disclosures” atubs.com/investors.p

31 December 2023 Pillar 3 Report |UBS Group | Remuneration 100

Significant regulated subsidiaries

and sub-groups

Introduction

Scope of disclosures in this section

The sections below include capital and other regulatory information as of 31 December 2023 for UBS AG consolidated, UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated, UBS Americas Holding LLC consolidated, Credit Suisse AG consolidated, Credit Suisse AG standalone, Credit Suisse (Schweiz) AG consolidated, Credit Suisse (Schweiz) AG standalone, Credit Suisse International standalone and Credit Suisse Holdings (USA), Inc.
consolidated. Capital information in the following sections is based on Pillar 1 capital requirements. Entities may be subject to significant additional Pillar 2 requirements, which represent additional amounts of capital considered necessary and are agreed with regulators based on the risk profile of the respective entity.

UBS Americas Holding LLC consolidated and Credit Suisse Holdings (USA), Inc. consolidated

Recent events in the US banking market In May 2023, the Federal Reserve Board and the Federal Deposit Insurance Corporation (the FDIC) released reports that covered the circumstances leading to the closing of certain banking organizations following the events in the banking market in March 2023. The reports noted shortcomings in the supervisory agencies’ execution of examination programs, including escalation of supervisory issues and staffing. They also raised concerns related to the regulatory framework, including the Federal Reserve’s Tailoring Rule and other topics, such as interest rate risk management. UBS expects these developments to impact the regulatory environment in the US, where UBS has significant operations.

Federal Reserve Board releases stress test results In June 2023, the Federal Reserve Board released the results of its 2023 Dodd–Frank Act Stress Test (DFAST). UBS’s US intermediate holding company, UBS Americas Holding LLC, and Credit Suisse’s intermediate holding, Credit Suisse Holdings (USA), Inc., exceeded the minimum capital requirements under the severely adverse scenario. Following the completion of the annual DFAST and the Comprehensive Capital Analysis and Review (CCAR), UBS Americas Holding LLC was assigned a stress capital buffer (an SCB) of 9.1% (previously 4.8%) under the SCB rule as of 1 October 2023, resulting in a total common equity tier 1 (CET1) capital requirement of 13.6%. Credit Suisse Holdings (USA), Inc. was assigned an SCB of 7.2% (previously 9.0%), resulting in a total CET1 capital requirement of 11.7%.

US authorities consult on final Basel III implementation In July 2023, US banking regulators, including the Federal Reserve Board, the FDIC and the Office of the Comptroller of the Currency (the OCC), issued a public consultation on a proposal that would implement the final components of the Basel III capital standards for US banking organizations and foreign-owned intermediate holding companies, such as UBS Americas Holding LLC and Credit Suisse Holdings (USA), Inc. Among other matters, the proposed rules would end the use of the internal model approach for credit risk by the largest banking organizations and would introduce instead a new standardized approach. In addition, the proposed rules for operational risks would replace the advanced measurement approach with a standardized measure. The proposal calls for a three-year transition period, starting on 1 July 2025, and full implementation by 1 July 2028. We currently estimate that the proposed rule changes would result in increased capital requirements for our US-based intermediate holding companies if implemented as proposed.

UBS Americas Holding LLC consolidated

US banking regulators’ changes to the resolution framework and long-term debt requirements In August 2023, the Federal Reserve Board and the FDIC issued joint proposals on long-term debt requirements and resolution planning guidance for large banks. The long-term debt proposal would require certain large bank-holding companies, intermediate holding companies and insured depositories with USD 100bn or more in total assets to maintain a minimum amount of long-term debt, intended to enhance the resilience and resolvability of such organizations. Large banking organizations would also be prohibited from certain activities that could complicate the resolution or would lead to contagion risks. If the proposals are implemented, UBS Bank USA would be subject to the long-term debt requirement, which would be incremental to the requirements already imposed upon its parent organization, UBS Americas Holding LLC. The resolution planning guidance proposed by US banking regulators would cover our US-based entities and calls for certain enhancements in the requirements of the submitted resolution plans.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Introduction 101

UBS AG consolidated

Key metrics of the fourth quarter of 2023

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 2023, tier 1 capital increased by USD 1.6bn to USD 56.6bn. Common equity tier 1 (CET1)
capital increased by USD 0.8bn to USD 44.1bn, mainly reflecting operating profit before tax of USD 0.3bn and positive effects from foreign currency translation of USD 1.0bn, partly offset by additional dividend accruals of USD 0.6bn.
Additional tier 1 (AT1) capital issued by the Group and on-lent to UBS AG increased by USD 0.8bn to USD 12.5bn, mainly reflecting two issuances of AT1 capital instruments of USD 3.5bn and positive impacts from interest rate risk hedge, foreign currency translation and other effects. These increases were partly offset by a USD 2.5bn AT1 capital instrument that ceased to be eligible as going concern capital when we issued a notice of redemption of this instrument in the fourth quarter of 2023. In addition, two high-trigger loss-absorbing AT1 capital instruments of an equivalent of USD 0.6bn previously on-lent from the Group to UBS AG were transferred to Credit Suisse AG on 20 October 2023.

Risk-weighted assets (RWA) increased by USD 12.8bn to USD 334.0bn during the fourth quarter of 2023, primarily driven by an increase in credit and counterparty credit risk RWA .

During the fourth quarter of 2023, the leverage ratio denominator (the LRD) increased by USD 62.3bn to USD 1,104.4bn, driven by an increase from currency effects of USD 41.4bn and an increase in asset size and other movements of USD 20.9bn. The increase in the LRD was mainly driven by higher lending balances, trading portfolio assets, central bank balances and securities financing transaction exposures, partly offset by lower derivative exposures.

Correspondingly, the CET1 capital ratio of UBS AG consolidated decreased to 13.2% from 13.5%, reflecting the increase in RWA, partly offset by the increase in CET1 capital. The Basel III leverage ratio decreased to 5.1% from 5.3%, reflecting higher leverage ratio exposure, partly offset by the increase in tier 1 capital.

In the fourth quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of UBS AG consolidated increased 13.1 percentage points to 189.7%. The movement in the quarterly average LCR was primarily driven by an increase in average high-quality liquid assets (HQLA) of USD 23.6bn to USD 254.5bn, mainly due to an increase in customer deposits and proceeds received from debt issuances. The effect of the increase in average HQLA was partly offset by an increase in average net cash outflows of USD 3.3bn to USD 134.3bn, driven by lower net inflows from securities financing transactions.

As of 31 December 2023, the net stable funding ratio of UBS AG consolidated decreased 2.1 percentage points to 119.6%. Required stable funding increased by USD 36.7bn to USD 503.8bn, mainly driven by higher lending and trading assets. Available stable funding increased by USD 34.1bn to USD 602.6bn, mainly driven by higher customer deposits, debt issued and regulatory capital.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS AG consolidated 102

KM1: Key metrics
USD m, except where indicated
					31.12.23	30.9.23	30.6.23
Available capital (amounts)
1Common Equity Tier 1 (CET1)		1			44,130	43,378	43,300
2Tier 11					56,628	55,037	55,017
3Total capital	1				56,629	55,038	55,017
Risk-weighted assets (amounts)
4Total risk-weighted assets (RWA)					333,979	321,134	323,406
4aMinimum capital requirement		2			26,718	25,691	25,873
Risk-based capital ratios as a percentage of RWA
5CET1 ratio (%)	1				13.21	13.51	13.39
6Tier 1 ratio (%)	1				16.96	17.14	17.01
7Total capital ratio (%)	1				16.96	17.14	17.01
Additional CET1 buffer requirements as a percentage of RWA
8Capital conservation buffer requirement (%)					2.50	2.50	2.50
9Countercyclical buffer requirement (%)					0.13	0.13	0.10
9aAdditional countercyclical buffer for Swiss mortgage loans (%)					0.32	0.30	0.29
10Bank G-SIB and / or D-SIB additional requirements (%)			3
11Total of bank CET1 specific buffer requirements (%)			4		2.63	2.63	2.60
12CET1 available after meeting the bank’s minimum capital requirements (%)				5	8.71	9.01	8.89
Basel III leverage ratio
13Total Basel III leverage ratio exposure measure					1,104,408	1,042,106	1,048,313
14Basel III leverage ratio (%)		1			5.13	5.28	5.25
Liquidity coverage ratio (LCR)	6
15Total high-quality liquid assets (HQLA)					254,516	230,909	224,849
16Total net cash outflow					134,300	130,956	131,535
16aof which: cash outflows					256,881	254,122	258,700
16bof which: cash inflows					122,582	123,166	127,165
17LCR (%)					189.71	176.56	170.94
Net stable funding ratio (NSFR)
18Total available stable funding					602,565	568,509	564,491
19Total required stable funding					503,782	467,130	477,615
20NSFR (%)					119.61	121.70	118.19

1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”. 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for UBS AG consolidated are provided below in this section. 4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 5 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital. 6 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the fourth quarter of 2023 and 63 data points in the third quarter of 2023.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS AG consolidated 103

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 leverage ratio denominatorbased going and gone concern requirements and information as required by the Swiss Financial Market Supervisory
Authority (FINMA).

In November 2022, the Swiss Federal Council adopted amendments to the Banking Act and the Banking Ordinance, which entered into force as of 1 January 2023. The amendments replaced the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs), including UBS, with reduced base gone concern capital requirements equivalent to 75% of the total going concern requirements (excluding countercyclical buffer requirements).
In addition, as of July 2024, FINMA will have the authority to impose a surcharge of up to 25% of the total going concern capital requirements (excluding countercyclical buffer requirements) based on obstacles to an SIB’s resolvability identified in future resolvability assessments. UBS AG’s consolidated total gone concern requirements remained substantially unchanged in the fourth quarter of 2023. 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 lossabsorbing capacity” section of the UBS AG Annual Report 2023, available under “Annual reporting” at ubs.com/investors.

Swiss SRB going and gone concern requirements and information| As of 31.12.23 | RWA | | LRD | |
| --- | --- | --- | --- | --- |
| USD m, except where indicated | in % | | in % | |
| Required going concern capital | | | | |
| Total going concern capital | 14.751 | 49,268 | 5.001 | 55,220 |
| Common equity tier 1 capital | 10.45 | 34,907 | 3.502 | 38,654 |
| of which: minimum capital | 4.50 | 15,029 | 1.50 | 16,566 |
| of which: buffer capital | 5.50 | 18,369 | 2.00 | 22,088 |
| of which: countercyclical buffer | 0.45 | 1,509 | | |
| Maximum additional tier 1 capital | 4.30 | 14,361 | 1.50 | 16,566 |
| of which: additional tier 1 capital | 3.50 | 11,689 | 1.50 | 16,566 |
| of which: additional tier 1 buffer capital | 0.80 | 2,672 | | |

Eligible going concern capital
Total going concern capital		16.96	56,628	5.13	56,628
Common equity tier 1 capital		13.21	44,130	4.00	44,130
Total loss-absorbing additional tier 1 capital		3.74	12,498	1.13	12,498
of which: high-trigger loss-absorbing additional tier 1 capital		3.38	11,286	1.02	11,286
of which: low-trigger loss-absorbing additional tier 1 capital	3	0.36	1,212	0.11	1,212

Required gone concern capital
Total gone concern loss-absorbing capacity	4,5,6	10.73	35,819	3.75	41,415
of which: base requirement including add-ons for market share and LRD		10.737	35,819	3.757	41,415

Eligible gone concern capital
Total gone concern loss-absorbing capacity	16.31	54,458	4.93	54,458
Total tier 2 capital	0.16	538	0.05	538
of which: non-Basel III-compliant tier 2 capital	0.16	538	0.05	538
TLAC-eligible unsecured debt	16.14	53,920	4.88	53,920

Total loss-absorbing capacity
Required total loss-absorbing capacity	25.48	85,088	8.75	96,636
Eligible total loss-absorbing capacity	33.26	111,086	10.06	111,086

Risk-weighted assets / leverage ratio denominator Risk-weighted assets333,979 Leverage ratio denominator1,104,408 1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD). 2 Our minimum CET1 leverage ratio requirement of 3.5% consists of a 1.5% base

requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement and a 0.25% market share add-on requirement based on our Swiss credit business. 3 Existing outstanding low-trigger additional tier 1 capital instruments qualify as going concern capital at the UBS AG consolidated level, as agreed with the Swiss Financial Market Supervisory Authority (FINMA), until their first call date. As of their first call date, these instruments are eligible to meet the gone concern requirements. 4 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 5 From 1 January 2023, the resolvability discount on the gone concern capital requirements for systemically important banks (SIBs) has been replaced with reduced base gone concern capital requirements equivalent to 75% of the total going concern requirements (excluding countercyclical buffer requirements). 6 As of July 2024, FINMA will have the authority to impose a surcharge of up to 25% of the total going concern capital requirements should obstacles to an SIB’s resolvability be identified in future resolvability assessments.
7 Includes applicable add-ons of 1.08% for RWA and 0.38% for LRD.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS AG consolidated 104

Swiss SRB going and gone concern information

USD m, except where indicated31.12.2330.9.2331.12.22| Eligible going concern capital | | | |
| --- | --- | --- | --- |
| Total going concern capital | 56,628 | 55,037 | 54,770 |
| Total tier 1 capital | 56,628 | 55,037 | 54,770 |
| Common equity tier 1 capital | 44,130 | 43,378 | 42,929 |
| Total loss-absorbing additional tier 1 capital | 12,498 | 11,660 | 11,841 |
| of which: high-trigger loss-absorbing additional tier 1 capital | 11,286 | 10,466 | 10,654 |
| of which: low-trigger loss-absorbing additional tier 1 capital | 1,212 | 1,194 | 1,187 |

Eligible gone concern capital
Total gone concern loss-absorbing capacity	54,458	53,349	46,991
Total tier 2 capital	538	536	2,958
of which: low-trigger loss-absorbing tier 2 capital	0	0	2,422
of which: non-Basel III-compliant tier 2 capital	538	536	536
TLAC-eligible unsecured debt	53,920	52,814	44,033

Total loss-absorbing capacity Total loss-absorbing capacity111,086108,387101,761| Risk-weighted assets / leverage ratio denominator | | | |
| --- | --- | --- | --- |
| Risk-weighted assets | 333,979 | 321,134 | 317,823 |
| Leverage ratio denominator | 1,104,408 | 1,042,106 | 1,029,561 |

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio	17.0	17.1	17.2
of which: common equity tier 1 capital ratio	13.2	13.5	13.5
Gone concern loss-absorbing capacity ratio	16.3	16.6	14.8
Total loss-absorbing capacity ratio	33.3	33.8	32.0

Leverage ratios (%)
Going concern leverage ratio	5.1	5.3	5.3
of which: common equity tier 1 leverage ratio	4.0	4.2	4.2
Gone concern leverage ratio	4.9	5.1	4.6
Total loss-absorbing capacity leverage ratio	10.1	10.4	9.9

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS AG consolidated 105

UBS AG standalone

Key metrics of the fourth quarter of 2023

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 2023, tier 1 capital increased by USD 0.3bn to USD 65.1bn. Common equity tier 1 (CET1)
capital decreased by USD 0.6bn to USD 52.6bn, mainly reflecting additional accruals for capital returns to UBS Group AG.
Additional tier 1 (AT1) capital issued by the Group and on-lent to UBS AG increased by USD 0.8bn to USD 12.5bn, mainly reflecting two issuances of AT1 capital instruments of USD 3.5bn and positive impacts from interest rate risk hedge, foreign currency translation and other effects. These increases were partly offset by a USD 2.5bn AT1 capital instrument that ceased to be eligible as going concern capital when we issued a notice of redemption of this instrument in the fourth quarter of 2023. In addition, two high-trigger loss-absorbing AT1 capital instruments of an equivalent of USD 0.6bn previously on-lent from the Group to UBS AG were transferred to Credit Suisse AG on 20 October 2023.

Phase-in risk-weighted assets (RWA) increased by USD 6.6bn to USD 354.1bn during the fourth quarter of 2023, primarily driven by increases in credit and counterparty credit risk RWA and participation RWA, partly offset by decreases in operational risk RWA and market risk RWA.

The leverage ratio denominator (the LRD) increased by USD 35.0bn to USD 643.9bn, driven by a USD 19.2bn increase in asset size and other movements and a USD 15.9bn increase in currency effects. The increase in asset size and other movements was mainly driven by higher on-balance sheet assets, mainly due to higher trading portfolio assets and lending balances, and securities financing transactions, partly offset by lower derivative exposures.

Correspondingly, the CET1 capital ratio of UBS AG standalone decreased to 14.8% from 15.3%, reflecting the increase in RWA and the decrease in CET1 capital. The firm’s Basel III leverage ratio decreased to 10.1% from 10.6%, reflecting the increase in the LRD, partly offset by the aforementioned increase in tier 1 capital.

The quarterly average liquidity coverage ratio (LCR) of UBS AG standalone increased 34.2 percentage points to 260.2%, 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 average high-quality liquid assets (HQLA) of USD 20.7bn to USD 130.0bn, mainly driven by an increase in customer deposits. The effect of the increase in average HQLA was slightly offset by an increase in average net cash outflows of USD 1.6bn to USD 50.4bn, mainly driven by lower net inflows from securities financing transactions.

As of 31 December 2023, the net stable funding ratio decreased 2.7 percentage points to 91.7%, remaining above the prudential requirement communicated by FINMA. Available stable funding increased by USD 16.0bn to USD 279.8bn, mainly driven by higher customer deposits, debt issued and regulatory capital. Required stable funding increased by USD 25.8bn to USD 304.9bn, mainly driven by higher trading and lending assets.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS AG standalone 106

KM1: Key metrics
USD m, except where indicated
				31.12.23	30.9.23	30.6.23	31.3.23	31.12.22
Available capital (amounts)
1Common Equity Tier 1 (CET1)		1		52,553	53,107	53,904	53,476	53,995
2Tier 11				65,051	64,767	65,622	65,791	65,836
3Total capital	1			65,052	64,767	65,622	66,279	66,321
Risk-weighted assets (amounts)	2
4Total risk-weighted assets (RWA)				354,083	347,514	343,374	348,235	332,864
4aMinimum capital requirement		3		28,327	27,801	27,470	27,859	26,629
Risk-based capital ratios as a percentage of RWA			2
5CET1 ratio (%)	1			14.84	15.28	15.70	15.36	16.22
6Tier 1 ratio (%)	1			18.37	18.64	19.11	18.89	19.78
7Total capital ratio (%)	1			18.37	18.64	19.11	19.03	19.92
Additional CET1 buffer requirements as a percentage of RWA
8Capital conservation buffer requirement (%)				2.50	2.50	2.50	2.50	2.50
9Countercyclical buffer requirement (%)				0.12	0.11	0.09	0.08	0.06
9aAdditional countercyclical buffer for Swiss mortgage loans (%)				0.00	0.00	0.00	0.00	0.00
10Bank G-SIB and / or D-SIB additional requirements (%)			4
11Total of bank CET1 specific buffer requirements (%)			5	2.62	2.61	2.59	2.58	2.56
12CET1 available after meeting the bank’s minimum capital requirements (%)				610.34	10.64	11.11	10.86	11.72
Basel III leverage ratio
13Total Basel III leverage ratio exposure measure				643,939	608,933	606,158	589,317	575,461
14Basel III leverage ratio (%)		1		10.10	10.64	10.83	11.16	11.44
Liquidity coverage ratio (LCR)	7
15Total high-quality liquid assets (HQLA)				129,961	109,248	97,726	98,761	101,609
16Total net cash outflow				50,376	48,781	47,083	52,382	53,616
16aof which: cash outflows				163,836	160,990	160,163	163,526	156,764
16bof which: cash inflows				113,460	112,210	113,080	111,144	103,148
17LCR (%)				260.16	225.93	207.98	189.11	191.19
Net stable funding ratio (NSFR)	8
18Total available stable funding				279,758	263,737	253,927	254,983	254,433
19Total required stable funding				304,938	279,160	283,937	288,991	280,166
20NSFR (%)				91.74	94.48	89.43	88.23	90.82

1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”. 2 Based on phase-in rules for RWA. Refer to “Swiss SRB going and gone concern requirements and information” below for more information. 3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for UBS AG standalone are provided below in this section. 5 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 6 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. 7 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the fourth quarter of 2023 and 63 data points in the third quarter of 2023. For the prior-quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 8 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.
p 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 10.12%, including a

countercyclical buffer of 0.12%, and a total going concern capital requirement of 14.42%, including a countercyclical

buffer of 0.12%. The capital requirements based on the LRD include a minimum CET1 capital requirement of 3.5% and

a total going concern leverage ratio requirement of 5.0%.

CET1 capital and high -trigger AT1 capital instruments are eligible as going concern capital. As of 31 December 2023,

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.

Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023,

UBS AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the nominal value of the

gone concern instruments issued by UBS entities and held by the parent firm; (ii) 75% of the capital requirements resulting

from third-party exposure on a standalone basis; and (iii) a buffer requirement equal to 30% of the Group’s gone concern

capital requirement on UBS AG’s consolidated exposure. A transitional period until 2024 has been granted for the buffer

requirement. The gone concern capital coverage ratio reflects how much gone concern capital is available to meet the

gone concern requirement. Outstanding high- and low-trigger loss-absorbing tier 2 capital instruments, non-Basel III-

compliant tier 2 capital instruments and total loss-absorbing capacity-eligible unsecured debt instruments are eligible to

meet gone concern requirements until one year before maturity.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS AG standalone 107

For direct and indirect investments, including the holding of regulatory capital instruments of UBS AG by subsidiaries that are active in banking and finance, a FINMA decree introduced a risk-weighting approach, with a phase-in period until 1 January 2028. Starting from 1 July 2017, these investments were risk-weighted at 200%. From 1 January 2019 onward, the risk weights are being gradually raised by 5 percentage points per year for Switzerland-domiciled investments and by 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights are 250% and 400%, respectively. As of 31 December 2023, the applicable phase-in risk weights were 225% for Switzerland-domiciled investments and 300% 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 2023, available under “Annual reporting” atubs.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 31.12.23 | RWA, phase-in | RWA, fully applied as of 1.1.28 | | | LRD | |
| --- | --- | --- | --- | --- | --- | --- |
| USD m, except where indicated | in % | | in % | | in % | |
| Required going concern capital | | | | | | |
| Total going concern capital | 14.421 | 51,048 | 14.421 | 57,577 | 5.001 | 32,197 |
| Common equity tier 1 capital | 10.12 | 35,822 | 10.12 | 40,404 | 3.50 | 22,538 |
| of which: minimum capital | 4.50 | 15,934 | 4.50 | 17,972 | 1.50 | 9,659 |
| of which: buffer capital | 5.50 | 19,475 | 5.50 | 21,965 | 2.00 | 12,879 |
| of which: countercyclical buffer | 0.12 | 414 | 0.12 | 467 | | |
| Maximum additional tier 1 capital | 4.30 | 15,226 | 4.30 | 17,173 | 1.50 | 9,659 |
| of which: additional tier 1 capital | 3.50 | 12,393 | 3.50 | 13,978 | 1.50 | 9,659 |
| of which: additional tier 1 buffer capital | 0.80 | 2,833 | 0.80 | 3,195 | | |

Eligible going concern capital
Total going concern capital	18.37	65,051	16.29	65,051	10.10	65,051
Common equity tier 1 capital	14.84	52,553	13.16	52,553	8.16	52,553
Total loss-absorbing additional tier 1 capital	3.53	12,498	3.13	12,498	1.94	12,498
of which: high-trigger loss-absorbing additional tier 1 capital	3.19	11,286	2.83	11,286	1.75	11,286
of which: low-trigger loss-absorbing additional tier 1 capital	0.34	1,212	0.30	1,212	0.19	1,212

Risk-weighted assets / leverage ratio denominator Risk-weighted assets354,083399,369 Leverage ratio denominator643,939

Required gone concern capital2Higher of RWA- or LRD-based Total gone concern loss-absorbing capacity48,406

Eligible gone concern capital Total gone concern loss-absorbing capacity54,452 Gone concern capital coverage ratio112.49 1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.50% for leverage ratio denominator (LRD). 2 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS AG standalone 108

Swiss SRB going and gone concern information

USD m, except where indicated31.12.2330.9.2331.12.22| Eligible going concern capital | | | |
| --- | --- | --- | --- |
| Total going concern capital | 65,051 | 64,767 | 65,836 |
| Total tier 1 capital | 65,051 | 64,767 | 65,836 |
| Common equity tier 1 capital | 52,553 | 53,107 | 53,995 |
| Total loss-absorbing additional tier 1 capital | 12,498 | 11,660 | 11,841 |
| of which: high-trigger loss-absorbing additional tier 1 capital | 11,286 | 10,466 | 10,654 |
| of which: low-trigger loss-absorbing additional tier 1 capital | 1,212 | 1,194 | 1,187 |

Eligible gone concern capital
Total gone concern loss-absorbing capacity	54,452	53,343	46,982
Total tier 2 capital	533	530	2,949
of which: low-trigger loss-absorbing tier 2 capital	0	0	2,421
of which: non-Basel III-compliant tier 2 capital	533	530	528
TLAC-eligible unsecured debt	53,920	52,814	44,033

Total loss-absorbing capacity Total loss-absorbing capacity119,504118,110112,818| Denominators for going and gone concern ratios | | | | |
| --- | --- | --- | --- | --- |
| Risk-weighted assets, phase-in | | 354,083 | 347,514 | 332,864 |
| of which: investments in Switzerland-domiciled subsidiaries | 1 | 43,448 | 41,355 | 39,589 |
| of which: investments in foreign-domiciled subsidiaries | 1 | 121,374 | 120,263 | 121,021 |
| Risk-weighted assets, fully applied as of 1.1.28 | | 399,369 | 392,197 | 390,128 |
| of which: investments in Switzerland-domiciled subsidiaries | 1 | 48,276 | 45,950 | 44,988 |
| of which: investments in foreign-domiciled subsidiaries | 1 | 161,832 | 160,350 | 172,887 |
| Leverage ratio denominator | | 643,939 | 608,933 | 575,461 |

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in	18.4	18.6	19.8
of which: common equity tier 1 capital ratio, phase-in	14.8	15.3	16.2
Going concern capital ratio, fully applied as of 1.1.28	16.3	16.5	16.9
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28	13.2	13.5	13.8

Leverage ratios (%)
Going concern leverage ratio	10.1	10.6	11.4
of which: common equity tier 1 leverage ratio	8.2	8.7	9.4

Capital coverage ratio (%)
Gone concern capital coverage ratio112.5115.6117.1 1 Net exposures for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries are risk-weighted at 225% and 300%, respectively, for the current year. Risk weights will gradually increase by 5 percentage points per year for Switzerland-domiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.
p

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS AG standalone 109

UBS Switzerland AG standalone

Key metrics of the fourth quarter of 2023

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 2023, common equity tier 1 capital increased by CHF 0.1bn to CHF 12.5bn, mainly driven

by operating profit, largely offset by additional dividend accruals.

Total risk-weighted assets (RWA) decreased by CHF 0.9bn to CHF 107.1bn, mainly driven by lower RWA from credit and

counterparty credit risk.

The leverage ratio denominator (the LRD) decreased by CHF 2.3bn to CHF 330.5bn, mainly due to a decrease in lending

balances.

The quarterly average liquidity coverage ratio of UBS Switzerland AG remained stable at 142.5%, remaining above the

prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). Average high-quality

liquid assets (HQLA) increased by CHF 1.2bn to CHF 76.3bn, mainly reflecting proceeds received from debt issuances.

The effect of higher average HQLA was partly offset by a CHF 0.7bn increase in average net cash outflows, attributable

to higher outflows from intercompany payables including currency effects, slightly offset by lower outflows from demand

deposits.

As of 31 December 2023, the net stable funding ratio remained stable at 134.1%, remaining above the prudential

requirement communicated by FINMA. Required stable funding increased by CHF 0.6bn to CHF 166.1bn, mainly

reflecting an increase in weighted required stable funding amounts from mortgage loans, partly offset by lower weighted

required stable funding amounts from other lending assets. Available stable funding increased by CHF 0.8bn to

CHF 222.7bn, as the effect of higher deposits and higher debt issued was almost entirely offset by currency effects.

KM1: Key metrics| CHF m, except where indicated | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | 31.12.23 | 30.9.23 | 30.6.23 | 31.3.23 | 31.12.22 |
| Available capital (amounts) | | | | | | | | |
| 1Common Equity Tier 1 (CET1) | | 1 | | 12,515 | 12,449 | 12,354 | 12,356 | 12,586 |
| 2Tier 11 | | | | 17,515 | 17,838 | 17,735 | 17,745 | 17,978 |
| 3Total capital | 1 | | | 17,515 | 17,838 | 17,735 | 17,745 | 17,978 |
| Risk-weighted assets (amounts) | | | | | | | | |
| 4Total risk-weighted assets (RWA) | | | | 107,097 | 108,009 | 107,203 | 108,077 | 107,208 |
| 4aMinimum capital requirement | | 2 | | 8,568 | 8,641 | 8,576 | 8,646 | 8,577 |
| 4bTotal risk-weighted assets (pre-floor) | | | | 99,936 | 100,646 | 98,566 | 98,250 | 97,662 |
| Risk-based capital ratios as a percentage of RWA | | | | | | | | |
| 5CET1 ratio (%) | 1 | | | 11.69 | 11.53 | 11.52 | 11.43 | 11.74 |
| 6Tier 1 ratio (%) | 1 | | | 16.35 | 16.52 | 16.54 | 16.42 | 16.77 |
| 7Total capital ratio (%) | 1 | | | 16.35 | 16.52 | 16.54 | 16.42 | 16.77 |
| Additional CET1 buffer requirements as a percentage of RWA | | | | | | | | |
| 8Capital conservation buffer requirement (%) | | | | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 |
| 9Countercyclical buffer requirement (%) | | | | 0.04 | 0.05 | 0.04 | 0.03 | 0.02 |
| 9aAdditional countercyclical buffer for Swiss mortgage loans (%) | | | | 0.84 | 0.82 | 0.79 | 0.74 | 0.75 |
| 10Bank G-SIB and / or D-SIB additional requirements (%) | | | 3 | | | | | |
| 11Total of bank CET1 specific buffer requirements (%) | | | 4 | 2.54 | 2.55 | 2.54 | 2.53 | 2.52 |
| 12CET1 available after meeting the bank’s minimum capital requirements (%) | | | | 57.19 | 7.03 | 7.02 | 6.93 | 7.24 |
| Basel III leverage ratio | | | | | | | | |
| 13Total Basel III leverage ratio exposure measure | | | | 330,515 | 332,850 | 330,318 | 330,362 | 332,280 |
| 14Basel III leverage ratio (%) | | 1 | | 5.30 | 5.36 | 5.37 | 5.37 | 5.41 |
| Liquidity coverage ratio (LCR) | 6 | | | | | | | |
| 15Total high-quality liquid assets (HQLA) | | | | 76,288 | 75,125 | 77,594 | 85,286 | 88,889 |
| 16Total net cash outflow | | | | 53,564 | 52,825 | 54,497 | 60,151 | 62,437 |
| 16aof which: cash outflows | | | | 73,049 | 71,989 | 74,687 | 80,906 | 84,826 |
| 16bof which: cash inflows | | | | 19,485 | 19,164 | 20,190 | 20,755 | 22,389 |
| 17LCR (%) | | | | 142.46 | 142.23 | 142.41 | 141.87 | 142.41 |
| Net stable funding ratio (NSFR) | 7 | | | | | | | |
| 18Total available stable funding | | | | 222,709 | 221,883 | 219,728 | 220,838 | 221,689 |
| 19Total required stable funding | | | | 166,100 | 165,543 | 163,021 | 165,152 | 162,306 |
| 20NSFR (%) | | | | 134.08 | 134.03 | 134.79 | 133.72 | 136.59 |

1 As of 1 July 2022, capital amounts exclude the transitional relief of recognizing ECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks”. 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for UBS Switzerland AG are provided below. 4 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 5 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital. 6 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 63 data points in the fourth quarter of 2023 and 63 data points in the third quarter of 2023. For the prior-quarter data points, refer to the respective Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 7 UBS Switzerland AG is required to maintain a minimum NSFR of at least 100% on an ongoing basis, as defined by Art. 17h para. 1 of the Liquidity Ordinance. A portion of the excess funding is used to fulfill the NSFR requirement of UBS AG standalone.
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31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 110

Swiss systemically relevant bank going and gone concern requirements and information

UBS Switzerland AG is considered a systemically relevant bank (an SRB) under Swiss banking law and is subject to capital regulations on a standalone basis. As of 31 December 2023, the going concern capital and leverage ratio requirements for UBS Switzerland AG standalone were 15.18% (including a countercyclical buffer of 0.88%) and 5.00%, respectively.

The Swiss SRB framework and going concern requirements applicable to UBS Switzerland AG standalone are the same as those applicable to UBS Group AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement corresponds to 62% of the Group’s going concern requirements, excluding the Pillar 2 add-on and countercyclical buffer requirements.

The gone concern requirements were 8.87% for the RWA-based requirement and 3.10% for the LRD-based requirement.
›Refer to “Capital and capital ratios of our significant regulated subsidiaries” in the “Capital, liquidity and funding, and balance
sheet” section of the UBS Group Annual Report 2023, available under “Annual reporting” atubs.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 31.12.23 | RWA | | LRD | |
| --- | --- | --- | --- | --- |
| CHF m, except where indicated | in % | | in % | |
| Required going concern capital | | | | |
| Total going concern capital | 15.181 | 16,261 | 5.001 | 16,526 |
| Common equity tier 1 capital | 10.88 | 11,656 | 3.50 | 11,568 |
| of which: minimum capital | 4.50 | 4,819 | 1.50 | 4,958 |
| of which: buffer capital | 5.50 | 5,890 | 2.00 | 6,610 |
| of which: countercyclical buffer | 0.88 | 946 | | |
| Maximum additional tier 1 capital | 4.30 | 4,605 | 1.50 | 4,958 |
| of which: additional tier 1 capital | 3.50 | 3,748 | 1.50 | 4,958 |
| of which: additional tier 1 buffer capital | 0.80 | 857 | | |

Eligible going concern capital
Total going concern capital	16.35	17,515	5.30	17,515
Common equity tier 1 capital	11.69	12,515	3.79	12,515
Total loss-absorbing additional tier 1 capital	4.67	5,000	1.51	5,000
of which: high-trigger loss-absorbing additional tier 1 capital	4.67	5,000	1.51	5,000

Required gone concern capital	2
Total gone concern loss-absorbing capacity		8.87	9,495	3.10	10,246
of which: base requirement including add-ons for market share and LRD		8.873	9,495	3.103	10,246

Eligible gone concern capital
Total gone concern loss-absorbing capacity	10.44	11,176	3.38	11,176
TLAC-eligible unsecured debt	10.44	11,176	3.38	11,176

Total loss-absorbing capacity
Required total loss-absorbing capacity	24.05	25,756	8.10	26,772
Eligible total loss-absorbing capacity	26.79	28,691	8.68	28,691

Risk-weighted assets / leverage ratio denominator Risk-weighted assets107,097 Leverage ratio denominator330,515 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 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 111

Swiss SRB going and gone concern information

CHF m, except where indicated31.12.2330.9.2331.12.22| Eligible going concern capital | | | |
| --- | --- | --- | --- |
| Total going concern capital | 17,515 | 17,838 | 17,978 |
| Total tier 1 capital | 17,515 | 17,838 | 17,978 |
| Common equity tier 1 capital | 12,515 | 12,449 | 12,586 |
| Total loss-absorbing additional tier 1 capital | 5,000 | 5,389 | 5,393 |
| of which: high-trigger loss-absorbing additional tier 1 capital | 5,000 | 5,389 | 5,393 |

Eligible gone concern capital
Total gone concern loss-absorbing capacity	11,176	11,257	11,267
TLAC-eligible unsecured debt	11,176	11,257	11,267

Total loss-absorbing capacity Total loss-absorbing capacity28,69129,09529,245| Risk-weighted assets / leverage ratio denominator | | | |
| --- | --- | --- | --- |
| Risk-weighted assets | 107,097 | 108,009 | 107,208 |
| Leverage ratio denominator | 330,515 | 332,850 | 332,280 |

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio	16.4	16.5	16.8
of which: common equity tier 1 capital ratio	11.7	11.5	11.7
Gone concern loss-absorbing capacity ratio	10.4	10.4	10.5
Total loss-absorbing capacity ratio	26.8	26.9	27.3

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

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 112

Capital instruments

Quarterly |

Capital instruments of UBS Switzerland AG – key features Presented according to issuance date.
Share capitalAdditional tier 1 capital 1IssuerUBS Switzerland AG, SwitzerlandUBS Switzerland AG,UBS Switzerland AG,UBS Switzerland AG,UBS Switzerland AG,UBS Switzerland AG,UBS Switzerland AG,UBS Switzerland AG, SwitzerlandSwitzerlandSwitzerlandSwitzerlandSwitzerlandSwitzerlandSwitzerland 2Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for–– private placement)
3Governing law(s) of the instrumentSwissSwiss 3aMeans by which enforceability requirement of Section 13 ofn/an/a| Regulatory treatment | | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 4Transitional Basel III rules | 1 | CET1 – going concern capital | | | | Additional tier 1 capital | | | | |
| 5Post-transitional Basel III rules | 2 | CET1 – going concern capital | | | | Additional tier 1 capital | | | | |
| 6Eligible at solo / group / group and solo | | UBS Switzerland AG consolidated andstandalone | | | UBS Switzerland AG consolidated and standalone | | | | | |
| 7Instrument type (types to be specified by each jurisdiction) | | Ordinary shares | | | | | Loan3 | | | |
| 8Amount recognized in regulatory capital (currency in million,as of most recent reporting date) | | CHF 10.0 | CHF 1,000 | CHF 825 | CHF 475 | CHF 500 | | CHF 700 | CHF 675 | CHF 825 |
| 9Par value of instrument (currency in million) | | CHF 10.0 | CHF 1,000 | CHF 825 | CHF 475 | CHF 500 | | CHF 700 | CHF 675 | CHF 825 |
| 10Accounting classification | 4 | Equity attributable to UBS Switzerland AGshareholders | | | | Due to banks held at amortized cost | | | | |
| 11Original date of issuance | | – | 18 December 2017 | 12 December 2018 | 11 December 2019 | 29 October 2020 | | 11 March 2021 | 2 June 2021 | 2 June 2021 |
| 12Perpetual or dated | | – | | | | Perpetual | | | | |
| 13Original maturity date | | – | | | | | – | | | |
| 14Issuer call subject to prior supervisory approval | | – | | | | | Yes | | | |

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 113

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

Presented according to issuance date.

Share capitalAdditional tier 1 capital 15Optional call date, contingent call dates and redemption–First optionalFirst optionalFirst optionalFirst optionalFirst optionalFirst optionalFirst optional amountrepayment date:repayment date:repayment date:repayment date:repayment date:repayment date:repayment date:
18 December 2022512 December 2023511 December 202429 October 202511 March 20262 June 20262 June 2028

Repayable at any time after the first optional repayment date.Repayable on theRepayable on the Repayment subject to FINMA approval. Optional repayment amount: principal amount, together with anyfirst optionalfirst optional accrued and unpaid interest thereon.repayment date orrepayment date or on any of everyon any interest second interestpayment date payment datethereafter.
thereafter.Repayment subject Repayment subjectto FINMA approval.
to FINMA approval.Optional repayment Optional repaymentamount: principal amount: principalamount, together amount, togetherwith any accrued with any accruedand unpaid interest and unpaid interestthereon.
thereon.
16Subsequent call dates, if applicable–Early repayment possible due to a tax or regulatory event. Repayment due to a tax event subject to FINMA approval.
Repayment amount: principal amount, together with accrued and unpaid interest.

31 December 2023 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 capitalAdditional tier 1 capital Coupons 17Fixed or floating dividend / coupon–Floating 18Coupon rate and any related index–3-month SARON3-month SARON3-month SARON3-month SARON3-month SARON3-month SARON3-month SARON CompoundCompoundCompoundCompoundCompoundCompoundCompound + 250 bps+ 489 bps+ 433 bps+ 397 bps+ 337 bps+ 307 bps+ 308 bps per annum quarterlyper annum quarterlyper annum quarterlyper annum quarterlyper annum quarterlyper annum quarterlyper annum quarterly 19Existence of a dividend stopper–No 20Fully discretionary, partially discretionary or mandatoryFully discretionaryFully discretionary 21Existence of step-up or other incentive to redeem–No 22Non-cumulative or cumulativeNon-cumulativeNon-cumulative 23Convertible or non-convertible–Non-convertible 24If convertible, conversion trigger(s)–– 25If convertible, fully or partially–– 26If convertible, conversion rate–– 27If convertible, mandatory or optional conversion–– 28If convertible, specify instrument type convertible into–– 29If convertible, specify issuer of instrument it converts into–– 30Write-down feature–Yes 31If 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.
32If write-down, fully or partially–Fully 33If write-down, permanent or temporary–Permanent 34If temporary write-down, description of write-up mechanism–– 34aType of subordinationStatutoryContractual 35Position in subordination hierarchy in liquidation (specifyUnless otherwise stated in the articles ofSubject to any obligations that are mandatorily preferred by law, each obligation of UBS Switzerland AG that is unsubordinated or is subordinated and not instrument type immediately senior to instrument in theassociation, once debts are paid back, theranked junior (such as all classes of share capital) or at par (such as tier 1 instruments)
insolvency creditor hierarchy of the legal entity concerned)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)
36Non-compliant transitioned features–– 37If 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 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS Switzerland AG standalone 115

UBS Europe SE consolidated

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

During the fourth quarter of 2023, capital remained stable, and risk-weighted assets increased by EUR 0.1bn to EUR 12.4bn due to usual business behavior with no material drivers. Leverage ratio exposure decreased by EUR 2.2bn to EUR 45.1bn, mainly reflecting the decrease in securities financing transactions in line with the balance sheet movement.

The average liquidity coverage ratio remained stable and well above the regulatory requirements of 100% at 148.7%, with a EUR 0.4bn decrease in high-quality liquid assets and a EUR 0.3bn decrease in total net cash outflows. The net stable funding ratio remains stable and well above the regulatory requirements of 100% at 131.5%, with a EUR 0.2bn decrease in funding surplus.| KM1: Key metrics | 1 | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| EUR m, except where indicated | | | | | | | |
| | | | 31.12.23 | 30.9.232 | 30.6.23 | 31.3.232 | 31.12.222 |
| Available capital (amounts) | | | | | | | |
| 1Common Equity Tier 1 (CET1) | | | 2,625 | 2,651 | 2,438 | 2,435 | 2,441 |
| 2Tier 1 | | | 3,225 | 3,251 | 3,038 | 3,035 | 3,041 |
| 3Total capital | | | 3,225 | 3,251 | 3,038 | 3,035 | 3,041 |
| Risk-weighted assets (amounts) | | | | | | | |
| 4Total risk-weighted assets (RWA) | | | 12,382 | 12,247 | 11,118 | 10,561 | 10,726 |
| 4aMinimum capital requirement | 3 | | 991 | 980 | 889 | 845 | 858 |
| Risk-based capital ratios as a percentage of RWA | | | | | | | |
| 5CET1 ratio (%) | | | 21.2 | 21.7 | 21.9 | 23.1 | 22.8 |
| 6Tier 1 ratio (%) | | | 26.1 | 26.6 | 27.3 | 28.7 | 28.3 |
| 7Total capital ratio (%) | | | 26.1 | 26.6 | 27.3 | 28.7 | 28.3 |
| Additional CET1 buffer requirements as a percentage of RWA | | | | | | | |
| 8Capital conservation buffer requirement (%) | | | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 |
| 9Countercyclical buffer requirement (%) | | | 0.6 | 0.5 | 0.5 | 0.4 | 0.3 |
| 10Bank G-SIB and / or D-SIB additional requirements (%) | | | | | | | |
| 11Total of bank CET1 specific buffer requirements (%) | | | 3.1 | 3.0 | 3.0 | 2.9 | 2.8 |
| 12CET1 available after meeting the bank’s minimum capital requirements (%) | | 4 | 16.7 | 17.2 | 17.5 | 18.6 | 18.3 |
| Basel III leverage ratio | | | | | | | |
| 13Total Basel III leverage ratio exposure measure | | | 45,079 | 47,314 | 49,351 | 47,909 | 41,818 |
| 14Basel III leverage ratio (%) | 5 | | 7.2 | 6.9 | 6.2 | 6.3 | 7.3 |
| Liquidity coverage ratio (LCR) | 6 | | | | | | |
| 15Total high-quality liquid assets (HQLA) | | | 18,944 | 19,364 | 20,026 | 20,349 | 20,597 |
| 16Total net cash outflow | | | 12,794 | 13,120 | 13,210 | 13,206 | 13,082 |
| 17LCR (%) | | | 148.7 | 148.3 | 152.4 | 155.0 | 158.7 |
| Net stable funding ratio (NSFR) | | | | | | | |
| 18Total available stable funding | | | 13,942 | 14,357 | 13,148 | 13,176 | 13,711 |
| 19Total required stable funding | | | 10,606 | 10,856 | 9,072 | 8,569 | 7,935 |
| 20NSFR (%) | | | 131.5 | 132.2 | 144.9 | 153.8 | 172.8 |
| considering, where applicable, CET1 capital that has been used to meet tier 1 and / or total capital ratio requirements under Pillar 1. 5 On the basis of tier 1 capital. 6 Figures are calculated on a 12average. | | | | | | | ‑month |

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS Europe SE consolidated 116

UBS Americas Holding LLC consolidated

Quarterly |The table below provides information about the regulatory capital components, capital, liquidity, funding and leverage ratios of UBS Americas Holding LLC consolidated, based on Basel Committee on Banking Supervision Pillar 1
requirements and in accordance with US Basel III rules.

Effective 1 October 2023, and through 30 September 2024, UBS Americas Holding LLC is subject to a stress capital buffer (an SCB) of 9.1%, in addition to the minimum capital requirements. The SCB was determined by the Federal Reserve Board following the completion of the 2023 Comprehensive Capital Analysis and Review (the CCAR) based on Dodd– Frank Act Stress Test (DFAST) results and planned future dividends. The SCB, which replaces the static capital conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.

During the fourth quarter of 2023, common equity tier 1 capital increased by USD 3.7bn primarily from (i) the redemption by UBS America Holding LLC of USD 2.25bn of preferred shares in exchange for an equivalent amount of paid-in capital from UBS AG, (ii) a USD 0.8bn capital contribution by UBS AG and (iii) the Deferred Tax Asset temporary difference capital deduction declined as a result of the two aforementioned transactions. Risk-weighted assets increased by USD 1.1bn to USD 73.1bn, due to a USD 1.7bn increase in market risk RWA, partly offset by a USD 0.6bn decrease in credit risk RWA.
Leverage ratio exposure, calculated on an average basis, decreased by USD 1.0bn to USD 184.0bn, primarily due to lower lending activity.

The average liquidity coverage ratio decreased 8.1 percentage points to 147.7%, driven by a USD 0.9bn decrease in high-quality liquid assets, primarily due to a USD 1.9bn increase in trapped liquidity, and a USD 0.4bn increase in net cash outflows, due mostly to a USD 1.0bn decrease in inflows. The average net stable funding ratio increased 0.3 percentage points to 132.1%, driven by a USD 0.5bn decrease in required stable funding mainly due to a decrease in loans, partly offset by a USD 0.4bn decrease in available stable funding.

KM1: Key metrics| USD m, except where indicated | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | 31.12.23 | 30.9.23 | 30.6.23 | 31.3.23 | 31.12.221 |
| Available capital (amounts) | | | | | | | | |
| 1Common Equity Tier 1 (CET1) | | | | 14,081 | 10,348 | 10,275 | 10,579 | 10,536 |
| 2Tier 1 | | | | 16,919 | 15,433 | 15,361 | 15,673 | 15,618 |
| 3Total capital | | | | 17,120 | 15,647 | 15,581 | 15,889 | 15,749 |
| Risk-weighted assets (amounts) | | | | | | | | |
| 4Total risk-weighted assets (RWA) | | | | 73,096 | 72,002 | 70,135 | 71,901 | 70,324 |
| 4aMinimum capital requirement | 2 | | | 5,848 | 5,760 | 5,611 | 5,752 | 5,626 |
| Risk-based capital ratios as a percentage of RWA | | | | | | | | |
| 5CET1 ratio (%) | | | | 19.3 | 14.4 | 14.7 | 14.7 | 15.0 |
| 6Tier 1 ratio (%) | | | | 23.1 | 21.4 | 21.9 | 21.8 | 22.2 |
| 7Total capital ratio (%) | | | | 23.4 | 21.7 | 22.2 | 22.1 | 22.4 |
| Additional CET1 buffer requirements as a percentage of RWA | | | | | | | | |
| 8BCBS capital conservation buffer requirement (%) | | | | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 |
| 8aUS stress capital buffer requirement (%) | | | | 9.1 | 4.8 | 4.8 | 4.8 | 4.8 |
| 9Countercyclical buffer requirement (%) | | | | | | | | |
| 10Bank G-SIB and / or D-SIB additional requirements (%) | | | | | | | | |
| 11BCBS total of bank CET1 specific buffer requirements (%) | | | | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 |
| 11aUS total bank specific capital buffer requirements (%) | | | | 9.1 | 4.8 | 4.8 | 4.8 | 4.8 |
| 12CET1 available after meeting the bank’s minimum capital requirements (%) | | | 3 | 14.8 | 9.9 | 10.2 | 10.2 | 10.5 |
| Basel III leverage ratio | | | | | | | | |
| 13Total Basel III leverage ratio exposure measure | | | | 184,015 | 185,049 | 186,340 | 188,330 | 193,837 |
| 14Basel III leverage ratio (%) | 4 | | | 9.2 | 8.3 | 8.2 | 8.3 | 8.1 |
| 14aTotal Basel III supplementary leverage ratio exposure measure | | | | 208,242 | 206,753 | 207,357 | 209,465 | 214,543 |
| 14bBasel III supplementary leverage ratio (%) | | 4 | | 8.1 | 7.5 | 7.4 | 7.5 | 7.3 |
| Liquidity coverage ratio (LCR) | 5 | | | | | | | |
| 15Total high-quality liquid assets (HQLA) | | | | 27,952 | 28,839 | 29,203 | 30,4846 | 26,296 |
| 16Total net cash outflow | 7 | | | 18,931 | 18,512 | 19,464 | 21,0326 | 18,323 |
| 17LCR (%) | | | | 147.7 | 155.8 | 150.0 | 144.96 | 143.5 |
| Net stable funding ratio (NSFR) | 5,8 | | | | | | | |
| 18Total available stable funding | | | | 107,872 | 108,2819 | 108,5839 | 108,1349 | |
| 19Total required stable funding | 7 | | | 81,650 | 82,1649 | 83,3419 | 83,4679 | |
| 20NSFR (%) | | | | 132.1 | 131.89 | 130.39 | 129.69 | |

CET1 buffer requirements. 3 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 4 On the basis of tier 1 capital. 5 Figures are calculated on a quarterly average. 6 Comparative information for 31 March 2023 has been restated for revisions to HQLA and net cash outflows. 7 Reflected at 85% of the full amount in accordance with the Federal Reserve tailoring rule. 8 The net stable funding ratio requirement became effective as of 1 July 2021 and related disclosures came into effect in the second quarter of 2023. 9 Comparative information for 30 September 2023, 30 June 2023 and 31 March 2023 has been restated for revisions to available stable funding and required stable funding.
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31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS Americas Holding LLC consolidated 117

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 2023, UBS Americas Holding LLC had a total loss-absorbing capacity (TLAC) of USD 24.3bn after regulatory capital deductions and adjustments. This amount included tier 1 capital of USD 16.9bn and USD 7.4bn of

internal long-term debt that is eligible as internal TLAC issued to UBS AG, a wholly owned subsidiary of the UBS Group

AG resolution entity.| TLAC2: Material sub-group entity – creditor ranking at legal entity level | | | | | | |
| --- | --- | --- | --- | --- | --- | --- |
| As of 31.12.23 | | | Creditor ranking | | | Total |
| USD m | | 1 | 2 | 3 | 4 | |
| 1Is the resolution entity the creditor / investor? | No | | No | No | No | |
| | Common Equity | Preferred Shares | Subordinated | Unsecured loans andother pari passu | | |
| 2Description of creditor ranking | (most junior) | 1(additional tier 1) | | debtliabilities (most senior) | | |
| 3Total capital and liabilities net of credit risk mitigation | 22,039 | | 2,900 | | 41,991 | 66,930 |
| 4Subset of row 3 that are excluded liabilities | | | | | 0 | 0 |
| 5Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 22,039 | | 2,900 | | 41,991 | 66,930 |
| 6Subset of row 5 that are eligible as TLAC | 22,039 | | 2,900 | | 7,400 | 32,339 |
| 7Subset of row 6 with 1 year ≤ residual maturity < 2 years | | | | | 0 | |
| 8Subset of row 6 with 2 years ≤ residual maturity < 5 years | | | | | 3,200 | 3,200 |
| 9Subset of row 6 with 5 years ≤ residual maturity < 10 years | | | | | 4,200 | 4,200 |
| 10Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetualsecurities | | | | | 0 | |
| 11Subset of row 6 that is perpetual securities | 22,039 | | 2,900 | | | 24,939 |
| 1 Equity attributable to shareholders, which includes share premium and reserves. | | | | | | |

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | UBS Americas Holding LLC consolidated 118

Credit Suisse AG consolidated

Key metrics of the fourth quarter of 2023

Quarterly |The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the fourth quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse AG consolidated decreased by CHF 4.6bn to CHF 38.2bn, mainly driven by a net loss of CHF 2.7bn. Tier 1 capital decreased by CHF 4.6bn to CHF 38.6bn, reflecting the aforementioned decrease in CET1 capital.

Risk-weighted assets (RWA) decreased by CHF 23.4bn to CHF 181.7bn during the fourth quarter of 2023, primarily due to decreases in credit risk RWA and operational risk RWA .

The leverage ratio denominator (the LRD) decreased by CHF 30.4bn to CHF 525.0 bn, mainly driven by lower business usage, primarily due to de-risking activities, and a negative foreign exchange impact, partially offset by an increase in high-quality liquid assets (HQLA).

Correspondingly, the CET1 capital ratio of Credit Suisse AG consolidated increased to 21.0% from 20.9%, mainly reflecting the aforementioned decrease in RWA, partially offset by the decrease in CET1 capital . The Basel III leverage ratio decreased to 7.4% from 7.8%, primarily due to the aforementioned decrease in CET1 capital, partially offset by the lower LRD.

In the fourth quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse AG consolidated increased 37.9 percentage points to 265.1%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The increase in the quarterly average LCR was primarily driven by a CHF 20.3bn increase in HQLA to CHF 142.6bn, mainly due to an increase in cash held at central banks.

As of 31 December 2023, the net stable funding ratio (the NSFR) of Credit Suisse AG consolidated increased 10.6 percentage points to 134.7%, remaining above the prudential requirement communicated by FINMA. The increase in the NSFR mainly reflected lower required stable funding, primarily related to a decrease in the loan portfolio of Credit Suisse AG consolidated, as well as a decrease in derivative exposures.

Applicable rules and methodologies As a result of the integration of Credit Suisse into UBS, the add-ons for market share and the LRD have been increased as of the end of 2023 to align with UBS’s current surcharges.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 119

KM1: Key metrics
CHF m, except where indicated
				31.12.23		30.9.23	30.6.23	31.3.23	31.12.22
Available capital (amounts)
1Common Equity Tier 1 (CET1)		1		38,187		42,793	45,542	54,244	40,987
2Tier 11				38,646		43,263	46,004	54,244	54,843
3Total capital	1			38,646		43,263	46,004	54,244	54,843
Risk-weighted assets (amounts)
4Total risk-weighted assets (RWA)				181,690		205,052	217,102	242,919	249,953
4aMinimum capital requirement		2		14,535		16,404	17,368	19,434	19,996
Risk-based capital ratios as a percentage of RWA
5CET1 ratio (%)	1				21.02	20.87	20.98	22.33	16.40
6Tier 1 ratio (%)	1				21.27	21.10	21.19	22.33	21.94
7Total capital ratio (%)	1				21.27	21.10	21.19	22.33	21.94
Additional CET1 buffer requirements as a percentage of RWA
8Capital conservation buffer requirement (%)					2.50	2.50	2.50	2.50	2.50
9Countercyclical buffer requirement (%)					0.16	0.17	0.13	0.11	0.08
9aAdditional countercyclical buffer for Swiss mortgage loans (%)					0.46	0.28	0.28	0.25	0.24
10Bank G-SIB and / or D-SIB additional requirements (%)			3,4
11Total of bank CET1 specific buffer requirements (%)			5		2.66	2.67	2.63	2.61	2.58
12CET1 available after meeting the bank’s minimum capital requirements (%)				4,6	13.27	13.10	13.19	14.33	11.90
Basel III leverage ratio
13Total Basel III leverage ratio exposure measure				524,968		555,398	585,681	655,439	653,551
14Basel III leverage ratio (%)		1			7.36	7.79	7.85	8.28	8.39
Liquidity coverage ratio (LCR)	7
15Total high-quality liquid assets (HQLA)				142,642		122,316	131,725	118,086	119,978
16Total net cash outflow				53,816		53,846	51,315	64,579	81,239
16aof which: cash outflows				79,227		85,913	94,073	130,255	161,608
16bof which: cash inflows				25,410		32,067	42,758	65,676	80,369
17LCR (%)				265.10		227.16	256.70	182.86	147.69
Net stable funding ratio (NSFR)
18Total available stable funding				287,062		292,474	295,741	295,402	342,800
19Total required stable funding				213,092		235,720	246,214	271,352	289,297
20NSFR (%)				134.71		124.08	120.12	108.86	118.49

1 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024. No transitional relief was applied for the periods presented. 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Swiss SRB going and gone concern requirements and information for Credit Suisse AG consolidated are provided below in this section. 4 Credit Suisse AG consolidated has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer at the Group level only. 5 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the tier 2 capital requirement met with CET1 capital. 6 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 7 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 64 data points in the fourth quarter of 2023 and 65 data points in the third quarter of 2023. For the prior-quarter data points, refer to the 30 September 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information.
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31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 120

Swiss systemically relevant bank going and gone concern requirements and information

Quarterly |The tables below provide details about the Swiss systemically relevant bank (SRB) RWA- and LRD-based going and gone concern requirements and information as required by FINMA; details regarding eligible gone concern instruments
are provided below.

Credit Suisse AG consolidated is considered an SRB under Swiss banking law and is subject to capital regulations on a consolidated basis. As of 31 December 2023, the going concern capital and leverage ratio requirements for Credit Suisse AG consolidated were 15.56% and 5.28%, respectively.

The gone concern requirements were 10.73% for the RWA-based requirement and 3.75% for the LRD-based requirement.

Swiss SRB going and gone concern requirements and information| As of 31.12.23 | | RWA | | LRD | |
| --- | --- | --- | --- | --- | --- |
| CHF m, except where indicated | | in % | | in % | |
| Required going concern capital | | | | | |
| Total going concern capital | 1 | 15.56 | 28,267 | 5.28 | 27,694 |
| Common equity tier 1 capital | | 11.26 | 20,454 | 3.782 | 19,819 |
| of which: minimum capital | | 4.50 | 8,176 | 1.50 | 7,875 |
| of which: buffer capital | | 5.50 | 9,993 | 2.00 | 10,499 |
| of which: countercyclical buffer | | 0.46 | 840 | | |
| Maximum additional tier 1 capital | | 4.30 | 7,813 | 1.50 | 7,875 |
| of which: additional tier 1 capital | | 3.50 | 6,359 | 1.50 | 7,875 |
| of which: additional tier 1 buffer capital | | 0.80 | 1,454 | | |

Eligible going concern capital
Total going concern capital	21.27	38,646	7.36	38,646
Common equity tier 1 capital	21.02	38,187	7.27	38,187
Total loss-absorbing additional tier 1 capital	0.25	458	0.09	458
of which: high-trigger loss-absorbing additional tier 1 capital	0.25	458	0.09	458

Required gone concern capital	3
Total gone concern loss-absorbing capacity		10.73	19,486	3.75	19,686
of which: base requirement including add-ons for market share and LRD		10.734	19,486	3.754	19,686

Eligible gone concern capital
Total gone concern loss-absorbing capacity	21.07	38,284	7.29	38,284
TLAC-eligible unsecured debt	21.07	38,284	7.29	38,284

Total loss-absorbing capacity
Required total loss-absorbing capacity	26.28	47,753	9.03	47,380
Eligible total loss-absorbing capacity	42.34	76,930	14.65	76,930

Risk-weighted assets / leverage ratio denominator Risk-weighted assets181,690 Leverage ratio denominator524,968 1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,445m relating to the supply chain finance

funds matter at Credit Suisse. 2 Our minimum CET1 leverage ratio requirement of 3.78% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on requirement based on our Swiss credit business and a Pillar 2 add-on of 0.28%. 3 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 4 The gone concern requirement after the application of the reduction for the use of higher quality capital instruments is floored at 10% and 3.75% for the RWA- and LRD-based requirements, respectively.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 121

Swiss SRB going and gone concern information

CHF m, except where indicated31.12.2330.9.2331.12.22| Eligible going concern capital | | | |
| --- | --- | --- | --- |
| Total going concern capital | 38,646 | 43,263 | 54,843 |
| Total tier 1 capital | 38,646 | 43,263 | 54,843 |
| Common equity tier 1 capital | 38,187 | 42,793 | 40,987 |
| Total loss-absorbing additional tier 1 capital | 458 | 469 | 13,856 |
| of which: high-trigger loss-absorbing additional tier 1 capital | 458 | 469 | 10,495 |
| of which: low-trigger loss-absorbing additional tier 1 capital | 0 | 0 | 3,361 |

Eligible gone concern capital
Total gone concern loss-absorbing capacity	38,284	39,230	42,930
TLAC-eligible unsecured debt	38,284	39,230	42,930

Total loss-absorbing capacity Total loss-absorbing capacity76,93082,49297,773| Risk-weighted assets / leverage ratio denominator | | | |
| --- | --- | --- | --- |
| Risk-weighted assets | 181,690 | 205,052 | 249,953 |
| Leverage ratio denominator | 524,968 | 555,398 | 653,551 |

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio	21.3	21.1	21.9
of which: common equity tier 1 capital ratio	21.0	20.9	16.4
Gone concern loss-absorbing capacity ratio	21.1	19.1	17.2
Total loss-absorbing capacity ratio	42.3	40.2	39.1

Leverage ratios (%)
Going concern leverage ratio	7.4	7.8	8.4
of which: common equity tier 1 leverage ratio	7.3	7.7	6.3
Gone concern leverage ratio	7.3	7.1	6.6
Total loss-absorbing capacity leverage ratio	14.7	14.9	15.0

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse AG consolidated 122

Credit Suisse AG standalone

Key metrics of the fourth quarter of 2023

Quarterly |The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.

During the fourth quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse AG standalone increased by CHF 2.4bn to CHF 33.3bn. This was mainly driven by a net profit of CHF 2.5bn, which included a reversal of participation impairments of CHF 2.0bn, as well as dividends received from Credit Suisse (Schweiz) AG. Tier 1 capital increased by CHF 2.4bn to CHF 33.8bn, reflecting the aforementioned increase in CET1 capital.

Phase-in risk-weighted assets (RWA) decreased by CHF 16.2bn to CHF 182.8bn during the fourth quarter of 2023, primarily driven by a decrease in credit risk RWA, mainly due to lower lending exposures, partly offset by an RWA impact from the reversal of participation impairments.

The leverage ratio denominator (the LRD) decreased by CHF 29.2bn to CHF 288.6bn, mainly driven by lower lending exposures, as well as decreases in trading inventory, securities financing transactions and derivative exposures, partly offset by an increase in central bank balances.

Correspondingly, the CET1 capital ratio of Credit Suisse AG standalone increased to 18.2% from 15.6%, reflecting the increase in CET1 capital and the decrease in phase-in RWA. The Basel III leverage ratio increased to 11.7% from 9.9%, reflecting the increase in CET1 capital and the lower LRD.

In the fourth quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse AG standalone increased 41.1 percentage points to 393.6%, remaining above the prudential requirement communicated by the Swiss Financial Market Supervisory Authority (FINMA). The increase in the quarterly average LCR was driven by an increase of CHF 16.6bn in high-quality liquid assets to CHF 67.3bn, mainly due to an increase in cash held at central banks.

As of 31 December 2023, the net stable funding ratio (the NSFR) of Credit Suisse AG standalone increased 21.1 percentage points to 131.82%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by a CHF 32.9bn decrease in required stable funding to CHF 121.6bn, primarily due to decreases in the firm’s loan portfolio. Available stable funding decreased by CHF 10.8bn to CHF 160.3bn, mainly due to a decrease in long-term debt.

Applicable rules and methodologies In October 2017, FINMA issued a decree (the 2017 FINMA Decree) specifying the treatment of investments in subsidiaries for capital adequacy purposes for Credit Suisse AG standalone. As of the end of the fourth quarter of 2023, Credit Suisse AG standalone financed Swiss subsidiaries with a carrying value of CHF 18.8bn and foreign subsidiaries with a carrying value of CHF 20.4bn.

The 2017 FINMA Decree also applied an adjustment (referred to as a regulatory filter) as an impact on CET1 capital arising from the accounting change under applicable Swiss banking rules for Credit Suisse AG standalone’s participations in subsidiaries, from the portfolio valuation method to the individual valuation method. In contrast to the accounting treatment, the regulatory filter permits Credit Suisse to measure the regulatory capital position as if Credit Suisse AG standalone had maintained the portfolio valuation method. As of the end of the fourth quarter of 2023, the CET1 capital impact from the regulatory filter was CHF 6.2bn (unchanged compared with the end of the third quarter of 2023). The related RWA increase from higher total participation values subject to risk weighting was CHF 15.5bn, reflecting the different risk-weights for these direct participations.

The valuation of Credit Suisse AG’s participations in subsidiaries is reviewed for potential impairment (reversal) on at least an annual basis and at any other time that events or circumstances indicate that the value of any participation may be impaired, respectively material reversals of impairment may be mandated. As a result of the acquisition of Credit Suisse Group AG by UBS Group AG and the expected changes in strategy in the future, reliable financial plans were initially not available for the valuation of Credit Suisse AG standalone’s participations in subsidiaries, and management used alternative methods to estimate the fair values of those assets. Reliable information became gradually available from the third quarter of 2023 onwards, and the valuation as of 31 December 2023 is generally based on the income approach valuation method and approved legal entity financial plans. Credit Suisse recognized a reversal of participation impairments of CHF 2.0bn in the fourth quarter of 2023.

As a result of the integration of Credit Suisse into UBS, the add-ons for market share and the LRD have been increased as of the end of 2023 to align with UBS’s current surcharges .

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 123

KM1: Key metrics| CHF m, except where indicated | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | 31.12.23 | | 30.9.23 | 30.6.23 | 31.3.23 | 31.12.22 |
| Available capital (amounts) | | | | | | | | | |
| 1Common Equity Tier 1 (CET1) | | 1 | | 33,346 | | 30,935 | 28,394 | 34,206 | 32,262 |
| 2Tier 11 | | | | 33,805 | | 31,405 | 28,856 | 34,206 | 46,153 |
| 3Total capital | 1 | | | 33,805 | | 31,405 | 28,856 | 34,206 | 46,153 |
| Risk-weighted assets (amounts) | | | | | | | | | |
| 4Total risk-weighted assets (RWA) | | 2 | | 182,772 | | 198,944 | 199,504 | 230,782 | 263,844 |
| 4aMinimum capital requirement | | 3 | | 14,622 | | 15,916 | 15,960 | 18,463 | 21,108 |
| Risk-based capital ratios as a percentage of RWA | | | | | | | | | |
| 5CET1 ratio (%) | 1 | | | | 18.24 | 15.55 | 14.23 | 14.82 | 12.23 |
| 6Tier 1 ratio (%) | 1 | | | | 18.50 | 15.79 | 14.46 | 14.82 | 17.49 |
| 7Total capital ratio (%) | 1 | | | | 18.50 | 15.79 | 14.46 | 14.82 | 17.49 |
| Additional CET1 buffer requirements as a percentage of RWA | | | | | | | | | |
| 8Capital conservation buffer requirement (%) | | | | | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 |
| 9Countercyclical buffer requirement (%) | | | | | 0.22 | 0.20 | 0.14 | 0.12 | 0.09 |
| 9aAdditional countercyclical buffer for Swiss mortgage loans (%) | | | | | 0.01 | 0.00 | 0.00 | 0.01 | 0.00 |
| 10Bank G-SIB and / or D-SIB additional requirements (%) | | | 4,5 | | | | | | |
| 11Total of bank CET1 specific buffer requirements (%) | | | 6 | | 2.72 | 2.70 | 2.64 | 2.62 | 2.59 |
| 12CET1 available after meeting the bank’s minimum capital requirements (%) | | | | 5,7 | 10.50 | 7.79 | 6.46 | 6.82 | 7.73 |
| Basel III leverage ratio | | | | | | | | | |
| 13Total Basel III leverage ratio exposure measure | | | | 288,610 | | 317,772 | 362,074 | 442,168 | 456,691 |
| 14Basel III leverage ratio (%) | | 1 | | | 11.71 | 9.88 | 7.97 | 7.74 | 10.11 |
| Liquidity coverage ratio (LCR) | 8 | | | | | | | | |
| 15Total high-quality liquid assets (HQLA) | | | | 67,308 | | 50,738 | 63,202 | 51,379 | 50,091 |
| 16Total net cash outflow | | | | 17,099 | | 14,392 | 16,169 | 30,478 | 40,198 |
| 16aof which: cash outflows | | | | 48,634 | | 50,010 | 56,717 | 76,407 | 89,414 |
| 16bof which: cash inflows | 9 | | | 31,535 | | 36,316 | 41,096 | 48,116 | 49,216 |
| 17LCR (%) | | | | 393.63 | | 352.53 | 390.88 | 168.58 | 124.61 |
| Net stable funding ratio (NSFR) | 10 | | | | | | | | |
| 18Total available stable funding | | | | 160,345 | | 171,146 | 168,255 | 170,657 | 207,520 |
| 19Total required stable funding | | | | 121,637 | | 154,500 | 168,122 | 190,934 | 224,037 |

20NSFR (%)	131.8211	110.77	100.08	89.38	92.63
1 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024. No transitional relief

was applied for the periods presented. 2 Based on phase-in rules for RWA. Refer to “Swiss SRB going and gone concern requirements and information” below for more information. 3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for Credit Suisse AG standalone are provided below in this section. 5 Credit Suisse AG standalone has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer at the Group level only. 6 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 7 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 8 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 64 data points in the fourth quarter of 2023 and 65 data points in the third quarter of 2023.
For the prior-quarter data points, refer to the 30 September 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 9 In accordance with LCR rules, cash inflows are capped at 75% of cash outflows, which is calculated on a daily basis for the purpose of the Pillar 3 disclosures. 10 In accordance with Art. 17h para. 3 and 4 of the Liquidity Ordinance, Credit Suisse AG standalone is allowed to fulfill the minimum NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz) AG standalone, and Credit Suisse AG standalone has an NSFR requirement of at least 80% without taking into consideration any such excess funding. Credit Suisse (Schweiz) AG must always fulfill the NSFR of at least 100% on a standalone basis. 11 In the fourth quarter of 2023, the Bank parent company fulfilled the regulatory NSFR requirement as FINMA provided guidance that allowed the Emergency Liquidity Assistance provided by the Swiss National Bank to be considered as available stable funding to the extent necessary.
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31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 124

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 FINMA ; details regarding eligible gone concern instruments are
provided below.

Following the amendments to the Banking Act and the Banking Ordinance that entered into force as of 1 January 2023, Credit Suisse AG standalone is subject to a gone concern capital requirement based on the sum of: (i) the nominal value of the gone concern instruments issued by Credit Suisse entities and held by the parent firm; (ii) 75% of the capital requirements resulting from third-party exposure on a standalone basis; and (iii) a buffer requirement equal to 30% of Credit Suisse AG standalone’s gone concern capital requirement on Credit Suisse AG’s consolidated exposure. A transitional period until 2024 has been granted for the buffer requirement. The gone concern capital coverage ratio reflects how much gone concern capital is available to meet the gone concern requirement. Outstanding high- and lowtrigger loss-absorbing tier 2 capital instruments and total loss-absorbing capacity-eligible unsecured debt instruments are eligible to meet gone concern requirements until one year before maturity. Credit Suisse AG standalone is allowed to temporarily use capital buffers until further notice, in line with the CAO and regulatory guidance by FINMA.

Swiss SRB going and gone concern requirements and information| As of 31.12.23 | | RWA, phase-in | RWA, fully applied as of 1.1.28 | | | LRD | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| CHF m, except where indicated | | in % | | in % | | in % | |
| Required going concern capital | | | | | | | |
| Total going concern capital | 1 | 15.321 | 27,992 | 15.221 | 31,652 | 5.501 | 15,876 |
| Common equity tier 1 capital | | 11.02 | 20,133 | 10.92 | 22,709 | 4.002 | 11,547 |
| of which: minimum capital | | 4.50 | 8,225 | 4.50 | 9,359 | 1.50 | 4,329 |
| of which: buffer capital | | 5.50 | 10,052 | 5.50 | 11,438 | 2.00 | 5,772 |
| of which: countercyclical buffer | | 0.22 | 410 | 0.22 | 467 | | |
| Maximum additional tier 1 capital | | 4.30 | 7,859 | 4.30 | 8,943 | 1.50 | 4,329 |
| of which: additional tier 1 capital | | 3.50 | 6,397 | 3.50 | 7,279 | 1.50 | 4,329 |
| of which: additional tier 1 buffer capital | | 0.80 | 1,462 | 0.80 | 1,664 | | |

Eligible going concern capital
Total going concern capital	18.50	33,805	16.25	33,805	11.71	33,805
Common equity tier 1 capital	18.24	33,346	16.03	33,346	11.55	33,346
Total loss-absorbing additional tier 1 capital	0.25	458	0.22	458	0.16	458
of which: high-trigger loss-absorbing additional tier 1 capital	0.25	458	0.22	458	0.16	458

Risk-weighted assets / leverage ratio denominator Risk-weighted assets182,772207,970 Leverage ratio denominator288,610

Required gone concern capital3Higher of RWA- or LRD-based Total gone concern loss-absorbing capacity26,644

Eligible gone concern capital Total gone concern loss-absorbing capacity38,216 TLAC-eligible unsecured debt38,216 Gone concern capital coverage ratio143.40

1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for leverage ratio denominator (LRD), as well as the FINMA Pillar 2 capital add-on of CHF 1,445m relating to the supply chain finance funds matter at Credit Suisse. 2 Our minimum CET1 leverage ratio requirement of 4.0% consists of a 1.5% base requirement, a 1.5% base buffer capital requirement, a 0.25% LRD add-on requirement, a 0.25% market share add-on requirement based on our Swiss credit business and a Pillar 2 add-on of 0.501%. 3 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 125

Swiss SRB going and gone concern information

CHF m, except where indicated31.12.2330.9.2331.12.22| Eligible going concern capital | | | |
| --- | --- | --- | --- |
| Total going concern capital | 33,805 | 31,405 | 46,153 |
| Total tier 1 capital | 33,805 | 31,405 | 46,153 |
| Common equity tier 1 capital | 33,346 | 30,935 | 32,262 |
| Total loss-absorbing additional tier 1 capital | 458 | 469 | 13,891 |
| of which: high-trigger loss-absorbing additional tier 1 capital | 458 | 469 | 10,519 |
| of which: low-trigger loss-absorbing additional tier 1 capital | 0 | 0 | 3,372 |

Eligible gone concern capital
Total gone concern loss-absorbing capacity	38,216	39,177	43,139
TLAC-eligible unsecured debt	38,216	39,177	43,139

Total loss-absorbing capacity Total loss-absorbing capacity72,02170,58189,292| Risk-weighted assets / leverage ratio denominator | | | | |
| --- | --- | --- | --- | --- |
| Risk-weighted assets, phase-in | | 182,772 | 198,944 | 263,844 |
| of which: investments in Switzerland-domiciled subsidiaries | 1 | 42,319 | 41,352 | 52,004 |
| of which: investments in foreign-domiciled subsidiaries | 1 | 61,488 | 60,002 | 74,247 |
| Risk-weighted assets fully applied as of 1.1.28 | | 207,970 | 223,540 | 302,756 |
| of which: investments in Switzerland-domiciled subsidiaries | 1 | 47,021 | 45,947 | 59,095 |
| of which: investments in foreign-domiciled subsidiaries | 1 | 81,984 | 80,003 | 106,067 |
| Leverage ratio denominator | | 288,610 | 317,772 | 456,691 |

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio, phase-in	18.5	15.8	17.5
of which: common equity tier 1 capital ratio, phase-in	18.2	15.6	12.2
Going concern capital ratio, fully applied as of 1.1.28	16.3	14.0	15.2
of which: common equity tier 1 capital ratio, fully applied as of 1.1.28	16.0	13.8	10.7

Leverage ratios (%)
Going concern leverage ratio	11.7	9.9	10.1
of which: common equity tier 1 leverage ratio	11.6	9.7	7.1

Capital coverage ratio (%)
Gone concern capital coverage ratio143.4141.7142.0 1 Net exposures for direct and indirect investments including holding of regulatory capital instruments in Switzerland-domiciled subsidiaries and for direct and indirect investments including holding of regulatory capital instruments in foreign-domiciled subsidiaries are risk-weighted at 225% and 300%, respectively, for the current year. Risk weights will gradually increase by 5 percentage points per year for Switzerlanddomiciled investments and 20 percentage points per year for foreign-domiciled investments until the fully applied risk weights of 250% and 400%, respectively, are applied.
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31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse AG standalone 126

Credit Suisse (Schweiz) AG consolidated

Key metrics of the fourth quarter of 2023

Quarterly |The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the fourth quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse (Schweiz) AG consolidated decreased by CHF 2.0bn to CHF 11.1bn. This was mainly driven by a dividend accrual of CHF 2.0bn. Tier 1 capital decreased by CHF 2.0bn to CHF 14.2bn, reflecting the aforementioned decrease in CET1 capital.

Risk-weighted assets (RWA) decreased by CHF 4.6bn to CHF 83.3.bn during the fourth quarter of 2023, primarily driven by a decrease in credit risk RWA.

The leverage ratio denominator (the LRD) decreased by CHF 3.6bn to CHF 253.8bn, mainly driven by lower lending balances.

Correspondingly, the CET1 capital ratio of Credit Suisse (Schweiz) AG consolidated decreased to 13.3% from 14.8%, reflecting the decrease in CET1 capital, partially offset by the decrease in RWA. The Basel III leverage ratio decreased to 5.6% from 6.3%.

In the fourth quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse (Schweiz) AG consolidated increased by 12.1 percentage points to 151.3%, 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 of CHF 2.2bn in high-quality liquid assets to CHF 52.1bn, mainly due to an increase in cash held at central banks, and a decrease of CHF 1.4bn in net cash outflows to CHF 34.4bn, mainly due to lower cash outflows from deposits.

As of 31 December 2023, the net stable funding ratio (the NSFR) of Credit Suisse (Schweiz) AG consolidated decreased 0.7 percentage points to 108.3%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by a decrease of CHF 3.6bn in required stable funding to CHF 118.7bn, mainly due to a decrease in the loan portfolio. The NSFR was also impacted by a decrease of CHF 4.7bn in available stable funding to CHF 128.5bn, primarily due to the maturity decay of funding instruments.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG consolidated 127

KM1: Key metrics| CHF m, except where indicated | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | 31.12.23 | 30.9.23 | 30.6.23 | 31.3.23 | 31.12.22 |
| Available capital (amounts) | 1 | | | | | | | | |
| 1Common Equity Tier 1 (CET1) | | 2 | | | 11,051 | 13,015 | 12,958 | 12,602 | 12,492 |
| 2Tier 1 | 2 | | | | 14,151 | 16,115 | 16,058 | 15,702 | 15,592 |
| 3Total capital | 2 | | | | 14,166 | 16,115 | 16,058 | 15,702 | 15,592 |
| Risk-weighted assets (amounts) | | | | | | | | | |
| 4Total risk-weighted assets (RWA) | | | | | 83,254 | 87,838 | 88,130 | 90,129 | 88,602 |
| 4aMinimum capital requirement | | 3 | | | 6,660 | 7,027 | 7,050 | 7,210 | 7,088 |
| 4bTotal risk-weighted assets (pre-floor) | | | | | 75,028 | 79,310 | 80,689 | 84,373 | 81,161 |
| Risk-based capital ratios as a percentage of RWA | | | | | | | | | |
| 5CET1 ratio (%) | 2 | | | | 13.27 | 14.82 | 14.70 | 13.98 | 14.10 |
| 6Tier 1 ratio (%) | 2 | | | | 17.00 | 18.35 | 18.22 | 17.42 | 17.60 |
| 7Total capital ratio (%) | | 2 | | | 17.02 | 18.35 | 18.22 | 17.42 | 17.60 |
| Additional CET1 buffer requirements as a percentage of RWA | | | | | | | | | |
| 8Capital conservation buffer requirement (%) | | | | | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 |
| 9Countercyclical buffer requirement (%) | | | | | 0.10 | 0.10 | 0.08 | 0.07 | 0.04 |
| 9aAdditional countercyclical buffer for Swiss mortgage loans (%) | | | | | 0.65 | 0.65 | 0.67 | 0.66 | 0.65 |
| 10Bank G-SIB and / or D-SIB additional requirements (%) | | | 4,5 | | | | | | |
| 11Total of bank CET1 specific buffer requirements (%) | | | 6 | | 2.60 | 2.60 | 2.58 | 2.57 | 2.54 |
| 12CET1 available after meeting the bank’s minimum capital requirements (%) | | | | 5,7 | 8.77 | 10.32 | 10.20 | 9.42 | 9.60 |
| Basel III leverage ratio | | | | | | | | | |
| 13Total Basel III leverage ratio exposure measure | | | | | 253,818 | 257,419 | 256,015 | 251,086 | 243,946 |
| 14Basel III leverage ratio (%) | | 2 | | | 5.58 | 6.26 | 6.27 | 6.25 | 6.39 |
| Liquidity coverage ratio (LCR) | | 8 | | | | | | | |
| 15Total high-quality liquid assets (HQLA) | | | | | 52,095 | 49,915 | 42,881 | 36,762 | 32,420 |
| 16Total net cash outflow | | | | | 34,425 | 35,846 | 30,582 | 25,624 | 27,438 |
| 16aof which: cash outflows | | | | | 42,963 | 44,655 | 40,278 | 42,119 | 44,646 |
| 16bof which: cash inflows | | | | | 8,538 | 8,809 | 9,696 | 16,495 | 17,208 |
| 17LCR (%) | | | | | 151.33 | 139.25 | 140.22 | 143.47 | 118.16 |
| Net stable funding ratio (NSFR) | | | | | | | | | |
| 18Total available stable funding | | | | | 128,538 | 133,255 | 135,120 | 133,863 | 151,197 |
| 19Total required stable funding | | | | | 118,715 | 122,269 | 123,928 | 127,635 | 126,181 |
| 20NSFR (%) | | | | | 108.27 | 108.98 | 109.03 | 104.88 | 119.83 |

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG consolidated 128

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.

Credit Suisse (Schweiz) AG consolidated is considered an SRB under Swiss banking law and is subject to capital regulations on a consolidated basis. As of 31 December 2023, the going concern capital and leverage ratio requirements for Credit Suisse (Schweiz) AG consolidated were 15.05% (including a countercyclical buffer of 0.75%) and 5.00%, respectively.

The Swiss SRB framework and going concern requirements applicable to Credit Suisse (Schweiz) AG consolidated are the same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement corresponds to 62% of the Credit Suisse AG consolidated going concern requirements, excluding the Pillar 2 add-on and countercyclical buffer requirements.

The gone concern requirements were 8.87% for the RWA-based requirement and 3.10% for the leverage ratio denominator-based requirement.

Swiss SRB going and gone concern requirements and information| As of 31.12.23 | RWA | | LRD | |
| --- | --- | --- | --- | --- |
| CHF m, except where indicated | in % | | in % | |
| Required going concern capital | | | | |
| Total going concern capital | 15.051 | 12,531 | 5.001 | 12,691 |
| Common equity tier 1 capital | 10.75 | 8,951 | 3.50 | 8,884 |
| of which: minimum capital | 4.50 | 3,746 | 1.50 | 3,807 |
| of which: buffer capital | 5.50 | 4,579 | 2.00 | 5,076 |
| of which: countercyclical buffer | 0.75 | 626 | | |
| Maximum additional tier 1 capital | 4.30 | 3,580 | 1.50 | 3,807 |
| of which: additional tier 1 capital | 3.50 | 2,914 | 1.50 | 3,807 |
| of which: additional tier 1 buffer capital | 0.80 | 666 | | |

Eligible going concern capital
Total going concern capital	17.00	14,151	5.58	14,151
Common equity tier 1 capital	13.27	11,051	4.35	11,051
Total loss-absorbing additional tier 1 capital	3.72	3,100	1.22	3,100
of which: high-trigger loss-absorbing additional tier 1 capital	3.72	3,100	1.22	3,100

Required gone concern capital	3
Total gone concern loss-absorbing capacity			8.87	7,381	3.10	7,868
of which: base requirement including add-ons for market share and LRD		4	8.87	7,381	3.10	7,868

Eligible gone concern capital
Total gone concern loss-absorbing capacity	10.86	9,0405	3.56	9,0405
TLAC-eligible unsecured debt	10.84	9,025	3.56	9,025

Total loss-absorbing capacity
Required total loss-absorbing capacity	23.92	19,913	8.10	20,559
Eligible total loss-absorbing capacity	27.86	23,191	9.14	23,191

Risk-weighted assets / leverage ratio denominator Risk-weighted assets83,254 Leverage ratio denominator253,818 1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for leverage ratio denominator (LRD). 2 Net income and dividend accruals for 2023 were recognized in the fourth quarter of 2023.
3 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 4 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD. 5 Includes a provision excess of CHF 15m.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG consolidated 129

Swiss SRB going and gone concern information

CHF m, except where indicated31.12.2330.9.2331.12.22| Eligible going concern capital | 1 | | | |
| --- | --- | --- | --- | --- |
| Total going concern capital | | 14,151 | 16,115 | 15,592 |
| Total tier 1 capital | | 14,151 | 16,115 | 15,592 |
| Common equity tier 1 capital | | 11,051 | 13,015 | 12,492 |
| Total loss-absorbing additional tier 1 capital | | 3,100 | 3,100 | 3,100 |
| of which: high-trigger loss-absorbing additional tier 1 capital | | 3,100 | 3,100 | 3,100 |

Eligible gone concern capital
Total gone concern loss-absorbing capacity	9,0402	9,025	10,000
TLAC-eligible unsecured debt	9,025	9,025	10,000

Total loss-absorbing capacity Total loss-absorbing capacity23,19125,14025,592| Risk-weighted assets / leverage ratio denominator | | | |
| --- | --- | --- | --- |
| Risk-weighted assets | 83,254 | 87,838 | 88,602 |
| Leverage ratio denominator | 253,818 | 257,419 | 243,946 |

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio	17.0	18.3	17.6
of which: common equity tier 1 capital ratio	13.3	14.8	14.1
Gone concern loss-absorbing capacity ratio	10.9	10.3	11.3
Total loss-absorbing capacity ratio	27.9	28.6	28.9

Leverage ratios (%)
Going concern leverage ratio	5.6	6.3	6.4
of which: common equity tier 1 leverage ratio	4.4	5.1	5.1
Gone concern leverage ratio	3.6	3.5	4.1
Total loss-absorbing capacity leverage ratio	9.1	9.8	10.5

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG consolidated 130

Credit Suisse (Schweiz) AG standalone

Key metrics of the fourth quarter of 2023

Quarterly |The table below is based on Basel Committee on Banking Supervision (BCBS) Basel III rules.
During the fourth quarter of 2023, the common equity tier 1 (CET1) capital of Credit Suisse (Schweiz) AG standalone decreased by CHF 1.5bn to CHF 10.4bn. This was mainly driven by a dividend accrual of CHF 2.0bn. Tier 1 capital decreased by CHF 1.5bn to CHF 13.5bn, reflecting the aforementioned decrease in CET1 capital.

Risk-weighted assets (RWA) decreased by CHF 4.3bn to CHF 82.6bn during the fourth quarter of 2023, primarily driven by lower credit risk RWA.

The leverage ratio denominator (the LRD) decreased by CHF 3.5bn to CHF 251.7bn, mainly driven by lower lending balances.

Correspondingly, the CET1 capital ratio of Credit Suisse (Schweiz) AG standalone decreased to 12.6% from 13.7%, reflecting the aforementioned decrease in CET1 capital, partially offset by the aforementioned decrease in RWA. The Basel III leverage ratio decreased to 5.4% from 5.9%.

In the fourth quarter of 2023, the quarterly average liquidity coverage ratio (the LCR) of Credit Suisse (Schweiz) AG standalone increased 11.7 percentage points to 149.3%, 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 of CHF 2.2bn in high-quality liquid assets to CHF 52.0bn, mainly due to an increase in cash held at central banks, and a decrease of CHF 1.4bn in net cash outflows to CHF 34.9bn, mainly due lower cash outflows from deposits.

As of 31 December 2023, the net stable funding ratio (the NSFR) of Credit Suisse (Schweiz) AG standalone decreased 0.7 percentage points to 108.7%, remaining above the prudential requirement communicated by FINMA. The movement in the NSFR was driven by a decrease of CHF 3.4bn in required stable funding to CHF 116.7bn, mainly due to a decrease in the loan portfolio. The NSFR was also impacted by a decrease of CHF 4.6bn in available stable funding to CHF 126.8bn, primarily due to the maturity decay of funding instruments.

As of 31 December 2023, Credit Suisse (Schweiz) AG standalone held assets with a carrying value of CHF 908m that are pledged under the covered bonds program of Credit Suisse AG and for which the related liabilities of CHF 534m as of 31 December 2023 are reported by Credit Suisse AG. The liabilities were fully collateralized through cash deposits from Credit Suisse AG.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 131

KM1: Key metrics| CHF m, except where indicated | | | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | | | | | 31.12.23 | 30.9.23 | 30.6.23 | 31.3.23 | 31.12.22 |
| Available capital (amounts) | 1 | | | | | | | | |
| 1Common Equity Tier 1 (CET1) | | 2 | | | 10,396 | 11,918 | 11,884 | 11,841 | 11,724 |
| 2Tier 1 | 2 | | | | 13,496 | 15,018 | 14,984 | 14,941 | 14,824 |
| 3Total capital | 2 | | | | 13,537 | 15,018 | 14,984 | 14,941 | 14,824 |
| Risk-weighted assets (amounts) | | | | | | | | | |
| 4Total risk-weighted assets (RWA) | | | | | 82,611 | 86,893 | 87,414 | 90,414 | 88,949 |
| 4aMinimum capital requirement | | 3 | | | 6,609 | 6,951 | 6,993 | 7,233 | 7,116 |
| 4bTotal risk-weighted assets (pre-floor) | | | | | 73,541 | 77,422 | 78,910 | 82,666 | 79,565 |
| Risk-based capital ratios as a percentage of RWA | | | | | | | | | |
| 5CET1 ratio (%) | 2 | | | | 12.58 | 13.72 | 13.60 | 13.10 | 13.18 |
| 6Tier 1 ratio (%) | 2 | | | | 16.34 | 17.28 | 17.14 | 16.53 | 16.67 |
| 7Total capital ratio (%) | | 2 | | | 16.39 | 17.28 | 17.14 | 16.53 | 16.67 |
| Additional CET1 buffer requirements as a percentage of RWA | | | | | | | | | |
| 8Capital conservation buffer requirement (%) | | | | | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 |
| 9Countercyclical buffer requirement (%) | | | | | 0.10 | 0.10 | 0.08 | 0.07 | 0.04 |
| 9aAdditional countercyclical buffer for Swiss mortgage loans (%) | | | | | 0.66 | 0.66 | 0.68 | 0.66 | 0.65 |
| 10Bank G-SIB and / or D-SIB additional requirements (%) | | | 4,5 | | | | | | |
| 11Total of bank CET1 specific buffer requirements (%) | | | 6 | | 2.60 | 2.60 | 2.58 | 2.57 | 2.54 |
| 12CET1 available after meeting the bank’s minimum capital requirements (%) | | | | 5,7 | 8.08 | 9.22 | 9.10 | 8.53 | 8.67 |
| Basel III leverage ratio | | | | | | | | | |
| 13Total Basel III leverage ratio exposure measure | | | | | 251,692 | 255,147 | 253,987 | 249,268 | 242,288 |
| 14Basel III leverage ratio (%) | | 2 | | | 5.36 | 5.89 | 5.90 | 5.99 | 6.12 |
| Liquidity coverage ratio (LCR) | | 8 | | | | | | | |
| 15Total high-quality liquid assets (HQLA) | | | | | 52,045 | 49,864 | 42,858 | 36,752 | 32,410 |
| 16Total net cash outflow | | | | | 34,850 | 36,226 | 31,007 | 25,984 | 27,787 |
| 16aof which: cash outflows | | | | | 43,295 | 44,956 | 40,563 | 42,376 | 44,836 |
| 16bof which: cash inflows | | | | | 8,444 | 8,730 | 9,556 | 16,392 | 17,049 |
| 17LCR (%) | | | | | 149.34 | 137.65 | 138.22 | 141.44 | 116.64 |
| Net stable funding ratio (NSFR) | | 9 | | | | | | | |
| 18Total available stable funding | | | | | 126,824 | 131,427 | 133,504 | 132,048 | 149,441 |
| 19Total required stable funding | | | | | 116,703 | 120,124 | 121,686 | 124,582 | 123,162 |
| 20NSFR (%) | | | | | 108.6710 | 109.41 | 109.71 | 105.99 | 121.34 |

1 Net income and dividend accruals for 2023 were recognized in the fourth quarter of 2023. 2 Credit Suisse has a transitional relief of recognizing CECL allowances and provisions in CET1 capital in accordance with FINMA Circular 2013/1 “Eligible capital – banks” until 30 June 2024. A transitional relief of CHF 8m was applied to CET1 and tier 1 capital to the fourth quarter of 2023. No transitional relief was applied for the other periods presented. 3 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 4 Swiss SRB going and gone concern requirements and information for Credit Suisse (Schweiz) AG standalone are provided below in this section. 5 Credit Suisse (Schweiz) AG standalone has aligned its minimum capital requirements to the UBS approach of applying the G-SIB buffer at the Group level only. 6 Excludes non-BCBS countercyclical capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 7 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS additional tier 1 and tier 2 capital requirements met with CET1 capital. 8 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 64 data points in the fourth quarter of 2023 and 65 data points in the third quarter of 2023. For the prior-quarter data points, refer to the 30 September 2023 Pillar 3 Report, available under “Pillar 3 disclosures” at ubs.com/investors, for more information. 9 In accordance with Art. 17h of the Liquidity Ordinance, Credit Suisse AG standalone is allowed to fulfill the minimum NSFR of 100% by taking into consideration any excess funding of Credit Suisse (Schweiz) AG standalone, and Credit Suisse AG standalone has an NSFR requirement of at least 80% without taking into consideration any such excess funding. Credit Suisse (Schweiz)
AG must always fulfill the NSFR of at least 100% on a standalone basis. 10 In the fourth quarter of 2023, the Bank parent company fulfilled the regulatory NSFR requirement as FINMA provided guidance that allowed the Emergency Liquidity Assistance provided by the Swiss National Bank to be considered as available stable funding to the extent necessary. This FINMA guidance did not impact the NSFR of Credit Suisse (Schweiz) AG – parent company on a stand-alone basis.
p

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 132

Swiss systemically relevant bank going and gone concern requirements and information

Credit Suisse (Schweiz) AG standalone is considered an SRB under Swiss banking law and is subject to capital regulations on a standalone basis. As of 31 December 2023, the going concern capital and leverage ratio requirements for Credit Suisse (Schweiz) AG standalone were 15.06% (including a countercyclical buffer of 0.76%) and 5.00%, respectively.

The Swiss SRB framework and going concern requirements applicable to Credit Suisse (Schweiz) AG standalone are the same as those applicable to Credit Suisse AG consolidated, excluding the Pillar 2 add-on. The gone concern requirement corresponds to 62% of the Credit Suisse AG consolidated going concern requirements, excluding the Pillar 2 add-on and countercyclical buffer requirements.

The gone concern requirements were 8.87% for the RWA-based requirement and 3.10% for the leverage ratio denominator-based requirement.

Swiss SRB going and gone concern requirements and information| As of 31.12.23 | RWA | | LRD | |
| --- | --- | --- | --- | --- |
| CHF m, except where indicated | in % | | in % | |
| Required going concern capital | | | | |
| Total going concern capital | 15.061 | 12,440 | 5.001 | 12,585 |
| Common equity tier 1 capital | 10.76 | 8,888 | 3.50 | 8,809 |
| of which: minimum capital | 4.50 | 3,717 | 1.50 | 3,775 |
| of which: buffer capital | 5.50 | 4,544 | 2.00 | 5,034 |
| of which: countercyclical buffer | 0.76 | 627 | | |
| Maximum additional tier 1 capital | 4.30 | 3,552 | 1.50 | 3,775 |
| of which: additional tier 1 capital | 3.50 | 2,891 | 1.50 | 3,775 |
| of which: additional tier 1 buffer capital | 0.80 | 661 | | |

Eligible going concern capital
Total going concern capital	16.34	13,496	5.36	13,496
Common equity tier 1 capital	12.58	10,396	4.13	10,396
Total loss-absorbing additional tier 1 capital	3.75	3,100	1.23	3,100
of which: high-trigger loss-absorbing additional tier 1 capital	3.75	3,100	1.23	3,100

Required gone concern capital	3
Total gone concern loss-absorbing capacity			8.87	7,324	3.10	7,802
of which: base requirement including add-ons for market share and LRD		4	8.87	7,324	3.10	7,802

Eligible gone concern capital
Total gone concern loss-absorbing capacity	10.97	9,0665	3.60	9,0665
TLAC-eligible unsecured debt	10.92	9,025	3.59	9,025

Total loss-absorbing capacity
Required total loss-absorbing capacity	23.92	19,764	8.10	20,387
Eligible total loss-absorbing capacity	27.31	22,562	8.96	22,562

Risk-weighted assets / leverage ratio denominator Risk-weighted assets82,611 Leverage ratio denominator251,692 1 Includes applicable add-ons of 1.44% for risk-weighted assets (RWA) and 0.5% for leverage ratio denominator (LRD). 2 Net income and dividend accruals for 2023 were recognized in the fourth quarter of 2023.
3 A maximum of 25% of the gone concern requirements can be met with instruments that have a remaining maturity of between one and two years. Once at least 75% of the minimum gone concern requirement has been met with instruments that have a remaining maturity of greater than two years, all instruments that have a remaining maturity of between one and two years remain eligible to be included in the total gone concern capital. 4 Includes applicable add-ons of 0.89% for RWA and 0.31% for LRD. 5 Includes a provision excess of CHF 41m.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 133

Swiss SRB going and gone concern information

CHF m, except where indicated31.12.2330.9.2331.12.22| Eligible going concern capital | 1 | | | |
| --- | --- | --- | --- | --- |
| Total going concern capital | | 13,496 | 15,018 | 14,824 |
| Total tier 1 capital | | 13,496 | 15,018 | 14,824 |
| Common equity tier 1 capital | | 10,396 | 11,918 | 11,724 |
| Total loss-absorbing additional tier 1 capital | | 3,100 | 3,100 | 3,100 |
| of which: high-trigger loss-absorbing additional tier 1 capital | | 3,100 | 3,100 | 3,100 |

Eligible gone concern capital
Total gone concern loss-absorbing capacity	9,0662	9,025	10,000
TLAC-eligible unsecured debt	9,025	9,025	10,000

Total loss-absorbing capacity Total loss-absorbing capacity22,56224,04324,824| Risk-weighted assets / leverage ratio denominator | | | |
| --- | --- | --- | --- |
| Risk-weighted assets | 82,611 | 86,893 | 88,949 |
| Leverage ratio denominator | 251,692 | 255,147 | 242,288 |

Capital and loss-absorbing capacity ratios (%)
Going concern capital ratio	16.3	17.3	16.7
of which: common equity tier 1 capital ratio	12.6	13.7	13.2
Gone concern loss-absorbing capacity ratio	11.0	10.4	11.2
Total loss-absorbing capacity ratio	27.3	27.7	27.9

Leverage ratios (%)
Going concern leverage ratio	5.4	5.9	6.1
of which: common equity tier 1 leverage ratio	4.1	4.7	4.8
Gone concern leverage ratio	3.6	3.5	4.1
Total loss-absorbing capacity leverage ratio	9.0	9.4	10.3

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse (Schweiz) AG standalone 134

Credit Suisse International standalone

Quarterly |The table below provides information about the regulatory capital components, capital ratios, leverage ratio and liquidity of Credit Suisse International standalone based on Basel Committee on Banking Supervision (BCBS) Pillar 1
requirements and in accordance with UK Prudential Regulatory Authority regulations and IFRS Accounting Standards.

During the fourth quarter of 2023, the common equity tier 1 capital of Credit Suisse International standalone decreased by USD 0.5bn to USD 12.7bn from USD 13.2bn, primarily due to increased losses. Total capital decreased by USD 0.6bn to USD 13.9bn, from USD 14.4bn in the third quarter of 2023. Risk-weighted assets decreased by USD 6.6bn to USD 35.4bn from USD 42.0bn in the third quarter of 2023, driven by a decrease across all risk types due to a reduction in trading activity. Leverage ratio exposure decreased by USD 11.2bn to USD 78.1bn, mainly driven by a decrease in trading inventory.

The average liquidity coverage ratio was 280.3%, compared with 221.0% in the third quarter of 2023. The increase was driven by a decrease of USD 2.1bn in net cash outflows, mainly driven by a decrease in outflow from derivatives, outflow from impact of adverse market scenarios and outflow from structured financing activities.

The net stable funding ratio (the NSFR) of Credit Suisse International standalone remained above the regulatory requirement of 100%, at 125.6%, compared with 126.1% in the third quarter of 2023. The NSFR was driven by a decrease of USD 4.2bn in available stable funding, mainly driven by a decrease in long-term funding. This was offset by a decrease of USD 3.2bn in required stable funding, mainly driven by a decrease in net derivative assets, initial margin posted and trading inventory.

KM1: Key metrics| USD m, except where indicated | | | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- |
| | | 31.12.23 | | 30.9.23 | 30.6.23 | 31.3.23 | 31.12.221 |
| Available capital (amounts) | | | | | | | |
| 1Common Equity Tier 1 (CET1) | | 12,688 | | 13,244 | 14,589 | 14,951 | 14,609 |
| 2Tier 1 | | 13,888 | | 14,444 | 15,789 | 16,151 | 15,809 |
| 3Total capital | | 13,888 | | 14,447 | 15,792 | 16,154 | 15,812 |
| Risk-weighted assets (amounts) | | | | | | | |
| 4Total risk-weighted assets (RWA) | | 35,438 | | 42,012 | 48,633 | 49,042 | 60,646 |
| 4aMinimum capital requirement | 2 | | 2,835 | 3,361 | 3,891 | 3,923 | 4,852 |
| Risk-based capital ratios as a percentage of RWA | | | | | | | |
| 5CET1 ratio (%) | | | 35.80 | 31.52 | 30.00 | 30.49 | 24.09 |
| 6Tier 1 ratio (%) | | | 39.19 | 34.38 | 32.47 | 32.93 | 26.07 |
| 7Total capital ratio (%) | | | 39.19 | 34.39 | 32.47 | 32.94 | 26.07 |
| Additional CET1 buffer requirements as a percentage of RWA | | | | | | | |
| 8BCBS capital conservation buffer requirement (%) | | | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 |
| 9Countercyclical buffer requirement (%) | | | 0.83 | 0.76 | 0.49 | 0.45 | 0.41 |
| 10Bank G-SIB and / or D-SIB additional requirements (%) | | | | | | | |
| 11BCBS total of bank CET1 specific buffer requirements (%) | | | 3.33 | 3.26 | 2.99 | 2.95 | 2.91 |
| 12CET1 available after meeting the bank’s minimum capital requirements (%) | | 3 | 31.19 | 26.39 | 24.47 | 24.94 | 18.07 |
| Basel III leverage ratio | | | | | | | |
| 13Total Basel III leverage ratio exposure measure | | 78,135 | | 89,344 | 98,366 | 112,642 | 126,360 |
| 14Basel III leverage ratio (%) | 4 | | 17.77 | 16.17 | 16.05 | 14.34 | 12.51 |
| Liquidity coverage ratio (LCR) | 5 | | | | | | |
| 15Total high-quality liquid assets (HQLA) | | 15,364 | | 15,411 | 20,095 | 23,899 | 25,457 |
| 16Total net cash outflow | | | 5,990 | 8,091 | 11,471 | 14,906 | 16,608 |
| 17LCR (%) | | 280.28 | | 220.97 | 197.04 | 162.79 | 150.42 |
| Net stable funding ratio (NSFR) | 6 | | | | | | |
| 18Total available stable funding | | 30,356 | | 34,581 | 39,764 | 44,280 | 49,315 |
| 19Total required stable funding | | 24,166 | | 27,375 | 31,086 | 34,728 | 38,717 |
| 20NSFR (%) | | 125.59 | | 126.10 | 128.14 | 127.51 | 127.54 |

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse International standalone 135

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 2023, Credit Suisse International had a total loss-absorbing capacity (TLAC) of USD 18.5bn after regulatory capital deductions and adjustments. This amount included tier 1 capital, excluding minority interests, of

USD 13.9bn and USD 4.6bn of internal long-term debt that was eligible as internal TLAC issued to Credit Suisse 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 31.12.23 | | | Creditor ranking | | | Total |
| USD m | | 1 | 2 | 3 | 4 | |
| 1Is the resolution entity the creditor / investor? | No | | No | No | No | |
| | Common Equity | Preferred Shares | Subordinated | Unsecured loans andother pari passu | | |
| 2Description of creditor ranking | (most junior) | 1(Additional tier 1) | | debtliabilities (most senior) | 2 | |
| 3Total capital and liabilities net of credit risk mitigation | 13,762 | | 1,200 | | 107,312 | 122,274 |
| 4Subset of row 3 that are excluded liabilities | | | | | 3 | 3 |
| 5Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 13,762 | | 1,200 | | 107,309 | 122,271 |
| 6Subset of row 5 that are eligible as TLAC | 13,762 | | 1,200 | | 4,586 | 19,548 |
| 7Subset of row 6 with 1 year ≤ residual maturity < 2 years | | | | | 1,543 | 1,543 |
| 8Subset of row 6 with 2 years ≤ residual maturity < 5 years | | | | | 3,043 | 3,043 |
| 9Subset of row 6 with 5 years ≤ residual maturity < 10 years | | | | | | |
| 10Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetualsecurities | | | | | | |
| 11Subset of row 6 that is perpetual securities | 13,762 | | 1,200 | | | 14,962 |

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse International standalone 136

Credit Suisse Holdings (USA), Inc. consolidated

Quarterly |The table below provides information about the regulatory capital components and capital, liquidity and leverage ratios of Credit Suisse Holdings (USA), Inc. consolidated, based on Basel Committee on Banking Supervision (BCBS) Pillar 1
requirements and in accordance with US Basel III rules.

Effective 1 October 2022 and through 30 September 2023, Credit Suisse Holdings (USA), Inc. was subject to a stress capital buffer (an SCB) of 9.0%, in addition to the minimum capital requirements. The SCB was determined by the Federal Reserve Board following the completion of the 2022 Comprehensive Capital Analysis and Review (the CCAR) based on Dodd–Frank Act Stress Test (DFAST) results and planned future dividends. Based on the results of the 2023 CCAR, the SCB has been adjusted to 7.2% effective 1 October 2023. The SCB, which replaces the static capital conservation buffer of 2.5%, is subject to change on an annual basis or as otherwise determined by the Federal Reserve Board.

During the fourth quarter of 2023, the common equity tier 1 (CET1) ratio of Credit Suisse Holdings (USA), Inc.
consolidated increased to 72.3% from 57.9%, as risk-weighted assets (RWA) decreased by USD 3.8bn to USD 13.0bn, which more than offset losses for the quarter of USD 3.0bn. The decrease in RWA was driven by decreases of USD 3.2bn in credit risk RWA and USD 0.6 bn in market risk RWA. Leverage ratio exposure, calculated on an average basis, decreased by USD 4.4bn to USD 29.5bn, driven by a decrease in reverse repurchase transactions due to a decrease in high-quality liquid assets (HQLA) requirements.

The average liquidity coverage ratio of Credit Suisse Holdings (USA), Inc. consolidated decreased 136 percentage points to 195.1%, mostly driven by a decrease in HQLA eligible level 1 liquid assets and an increase in unsecured debt outflows over the quarter.

The average net stable funding ratio (the NSFR) of Credit Suisse Holding s (USA), Inc. consolidated remained well above the regulatory requirement of 100%, at 179.1% for the fourth quarter of 2023, a decrease of 53.1 percentage points compared with 232.2% in the third quarter of 2023. The NSFR movement was driven by a decrease of USD 5.5bn in available stable funding, which was due to a reduction in term unsecured funding and capital. The NSFR was also impacted by a decrease of USD 0.4bn in required stable funding, which was driven by a reduction in loans and securities.

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse Holdings (USA), Inc. consolidated 137

KM1: Key metrics	1
USD m, except where indicated
			31.12.23	30.9.23	30.6.232	31.3.23	31.12.22
Available capital (amounts)
1Common Equity Tier 1 (CET1)			9,387	9,756	10,758	12,491	12,405
2Tier 1			9,909	10,279	11,281	13,013	12,928
3Total capital			9,987	10,346	11,348	13,080	13,037
Risk-weighted assets (amounts)
4Total risk-weighted assets (RWA)			12,979	16,841	20,480	31,762	44,644
4aMinimum capital requirement	3		1,038	1,347	1,638	2,541	3,572
Risk-based capital ratios as a percentage of RWA
5CET1 ratio (%)			72.3	57.9	52.5	39.3	27.8
6Tier 1 ratio (%)			76.4	61.0	55.1	41.0	29.0
7Total capital ratio (%)			77.0	61.4	55.4	41.2	29.2
Additional CET1 buffer requirements as a percentage of RWA
8BCBS capital conservation buffer requirement (%)			2.5	2.5	2.5	2.5	2.5
8aUS stress capital buffer requirement (%)			7.2	9.0	9.0	9.0	9.0
9Countercyclical buffer requirement (%)			0.3	0.3	0.3	0.3	0.3
10Bank G-SIB and / or D-SIB additional requirements (%)
11BCBS total of bank CET1 specific buffer requirements (%)			2.8	2.8	2.8	2.8	2.8
11aUS total bank specific capital buffer requirements (%)			7.5	9.3	9.3	9.3	9.3
12CET1 available after meeting the bank’s minimum capital requirements (%)			467.8	53.4	47.4	33.2	21.2
Basel III leverage ratio
13Total Basel III leverage ratio exposure measure			29,484	33,906	42,802	55,789	65,298
14Basel III leverage ratio (%)	5		33.6	30.3	26.4	23.3	19.8
14aTotal Basel III supplementary leverage ratio exposure measure			34,370	40,848	51,433	66,825	78,593
14bBasel III supplementary leverage ratio (%)		5	28.8	25.2	21.9	19.5	16.4
Liquidity coverage ratio (LCR)	6
15Total high-quality liquid assets (HQLA)			12,561	16,367	17,043	16,740	17,383
16Total net cash outflow			6,619	4,987	6,271	12,181	11,884
17LCR (%)			195.1	331.3	293.0	139.4	150.1
Net stable funding ratio (NSFR)	6
18Total available stable funding			15,320	20,804	25,031	27,503
19Total required stable funding			8,580	8,965	11,434	14,527
20NSFR (%)			179.1	232.2	219.6	189.8

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse Holdings (USA), Inc. consolidated 138

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 Holdings (USA), Inc. on a consolidated basis.

As of 31 December 2023, Credit Suisse Holdings (USA), Inc. had a total loss-absorbing capacity (TLAC) of USD 12.8bn

after regulatory capital deductions and adjustments. This amount included tier 1 capital, excluding minority interests, of

USD 9.9bn and USD 3.0bn of internal long-term debt that was eligible as internal TLAC issued to Credit Suisse 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 31.12.23 | | | Creditor ranking | | | Total |
| --- | --- | --- | --- | --- | --- | --- |
| USD m | | 1 | 2 | 3 | 4 | |
| 1Is the resolution entity the creditor / investor? | No | | No | No | No | |
| | Common Equity | | Subordinated | Unsecured loans andother pari passu | | |
| 2Description of creditor ranking | (most junior) | 1Preferred Shares | | debtliabilities (most senior) | 2 | |
| 3Total capital and liabilities net of credit risk mitigation | 9,273 | | 550 | | 22,255 | 32,078 |
| 4Subset of row 3 that are excluded liabilities | | | | | | |
| 5Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 9,273 | | 550 | | 22,255 | 32,078 |
| 6Subset of row 5 that are eligible as TLAC | 9,273 | | 550 | | 3,000 | 12,823 |
| 7Subset of row 6 with 1 year ≤ residual maturity < 2 years | | | | | | |
| 8Subset of row 6 with 2 years ≤ residual maturity < 5 years | | | | | 2,000 | 2,000 |
| 9Subset of row 6 with 5 years ≤ residual maturity < 10 years | | | | | | |
| 10Subset of row 6 with residual maturity ≥ 10 years, but excluded perpetualsecurities | | | | | 1,000 | 1,000 |
| 11Subset of row 6 that is perpetual securities | 9,273 | | 550 | | | 9,823 |

31 December 2023 Pillar 3 Report |Significant regulated subsidiaries and sub-groups | Credit Suisse Holdings (USA), Inc. consolidated 139

Appendix

Abbreviations frequently used in our financial reports

ACRM credit risk mitigation (creditFSB Financial Stability Board ABS asset-backed securitiesrisk) or comprehensive riskFTA Swiss Federal Tax AG Aktiengesellschaftmeasure (market risk)Administration AGM Annual General Meeting ofCST combined stress testFVA funding valuation shareholdersCUSIP Committee on Uniformadjustment A-IRB advanced internal ratings-Security IdentificationFVOCI fair value through other basedProcedurescomprehensive income AIV alternative investmentCVA credit valuation adjustmentFVTPL fair value through profit or vehicleloss ALCO Asset and LiabilityDFX foreign exchange CommitteeDBO defined benefit obligation AMA advanced measurementDCCP Deferred ContingentG approachCapital PlanGAAP generally accepted AML anti-money launderingDE&I diversity, equity andaccounting principles AoA Articles of AssociationinclusionGBP pound sterling APM alternative performanceDFAST Dodd–Frank Act Stress TestGCRG Group Compliance, measureDM discount marginRegulatory & Governance ARR alternative reference rateDOJ US Department of JusticeGDP gross domestic product ARS auction rate securitiesDTA deferred tax assetGEB Group Executive Board ASF available stable fundingDVA debit valuation adjustmentGHG greenhouse gas AT1 additional tier 1GIA Group Internal Audit AuM assets under managementEGRI Global Reporting Initiative EAD exposure at defaultG-SIB global systemically BEB Executive Boardimportant bank BCBS Basel Committee onEC European Commission Banking SupervisionECB European Central BankH BIS Bank for InternationalECL expected credit lossHQLAhigh-quality liquid assets SettlementsEGM Extraordinary General BoD Board of DirectorsMeeting of shareholdersI EIR effective interest rateIAS International Accounting CEL expected lossStandards CAO Capital AdequacyEMEA Europe, Middle East andIASB International Accounting OrdinanceAfricaStandards Board CCAR Comprehensive CapitalEOP Equity Ownership PlanIBOR interbank offered rate Analysis and ReviewEPS earnings per shareIFRIC International Financial CCF credit conversion factorESG environmental, social andReporting Interpretations CCP central counterpartygovernanceCommittee CCR counterparty credit riskESR environmental and socialIFRS Accounting Standards CCRC Corporate Culture andriskAccounting issued by the IASB Responsibility CommitteeETD exchange-traded derivativesStandards CDS credit default swapETF exchange-traded fundIRB internal ratings-based CEA Commodity Exchange ActEU European UnionIRRBB interest rate risk in the CEO Chief Executive OfficerEUR eurobanking book CET1 common equity tier 1EURIBOR Euro Interbank Offered RateISDA International Swaps and CFO Chief Financial OfficerEVE economic value of equityDerivatives Association CGU cash-generating unitEY Ernst & Young LtdISIN International Securities CHF Swiss francIdentification Number CIO Chief Investment OfficeF C&ORC Compliance & OperationalFA financial advisor Risk ControlFCA UK Financial Conduct

Authority FDIC Federal Deposit Insurance Corporation FINMA Swiss Financial Market Supervisory Authority FMIA Swiss Financial Market Infrastructure Act

31 December 2023 Pillar 3 Report |Appendix 140

Abbreviations frequently used in our financial reports (continued)

KRT KRT Key Risk TakerRBC risk-based capitalTBTF too big to fail RbM risk-based monitoringTCFD Task Force on Climate- LREIT real estate investment trustrelated Financial Disclosures LAS liquidity-adjusted stressRMBS residential mortgage-TIBOR Tokyo Interbank Offered LCR liquidity coverage ratiobacked securitiesRate LGD loss given defaultRniV risks not in VaRTLAC total loss-absorbing capacity LIBOR London Interbank OfferedRoCET1 return on CET1 capitalTTC through the cycle RateRoU right-of-use LLC limited liability companyrTSR relative total shareholderU LoD lines of defensereturnUSD US dollar LRD leverage ratio denominatorRWA risk-weighted assets LTIP Long-Term Incentive PlanV LTV loan-to-valueSVaR value-at-risk SA standardized approach orVATvalue added tax Msociété anonyme M&A mergers and acquisitionsSA-CCR standardized approach for MRT Material Risk Takercounterparty credit risk SAR Special Administrative NRegion of the People’s NII net interest incomeRepublic of China NSFR net stable funding ratioSDG Sustainable Development NYSE New York Stock ExchangeGoal SEC US Securities and Exchange OCommission OCA own credit adjustmentSFT securities financing OCI other comprehensivetransaction incomeSI sustainable investing or OECD Organisation for Economicsustainable investment Co-operation andSIBOR Singapore Interbank DevelopmentOffered Rate OTC over-the-counterSICR significant increase in credit risk PSIX SIX Swiss Exchange PCI purchased credit impairedSME small and medium-sized PD probability of defaultentities PIT point in timeSMF Senior Management PPA purchase price allocationFunction P&L profit or lossSNB Swiss National Bank SOR Singapore Swap Offer Rate QSPPI solely payments of principal QCCP Qualifying centraland interest counterpartySRB systemically relevant bank SRM specific risk measure SVaR stressed value-at-risk

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 2023 Pillar 3 Report |Appendix 141

Cautionary Statement |This report and the information contained herein are provided solely for information purposes, and are not to be construed as solicitation of an offer to buy or sell any securities or other financial instruments in Switzerland, the United States or any other jurisdiction. No investment decision relating to securities of or relating to UBS Group AG, UBS AG or their affiliates should be made on the basis of this report. Refer to UBS’s most recent Annual Report on Form 20-F,quarterly reports and other information furnished to or filed with the US Securities and Exchange Commission (the SEC) on Form 6-K, available at ubs.com/investors, for additional information.

Rounding |Numbers presented throughout this report may not add up precisely to the totals provided in the tables and text. Percentages and percent changes disclosed in text and tables are calculated on the basis of unrounded figures. Absolute changes between reporting periods disclosed in the text, which can be derived from numbers presented in related tables, are calculated on a rounded basis.

Tables |Within tables, blank fields generally indicate non-applicability or that presentation of any content would not be meaningful, or that information is not available as of the relevant date or for the relevant period. Zero values generally indicate that the respective figure is zero on an actual or rounded basis. Values that are zero on a rounded basis can be either negative or positive on an actual basis.

Websites |In this report, any website addresses are provided solely for information and are not intended to be active links. UBS is not incorporating the contents of any such websites into this report.

31 December 2023 Pillar 3 Report |Appendix 142

UBS Group AG P.O. Box CH-8098 Zurich

ubs.com

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrants have duly caused this report to be signed on their behalf by the undersigned, thereunto duly authorized.

UBS Group AG

By: _/s/ David Kelly _______ Name: David Kelly Title: Managing Director

By: _/s/ Ella Campi __ Name: Ella Campi Title: Executive Director

UBS AG

By: _/s/ David Kelly _______ Name: David Kelly Title: Managing Director

By: _/s/ Ella Campi __ Name: Ella Campi Title: Executive Director

Credit Suisse AG

By: _/s/ Simon Grimwood _____ Name: Simon Grimwood Title: Chief Financial Officer

By: _/s/ Damian Vogel _______ Name: Damian Vogel Title: Chief Risk Officer

Date: March 28, 2024

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