30 September 2023 Pillar 3 Report |
UBS Group | Key metrics
5
The quarterly average liquidity
coverage ratio (the LCR) of
the UBS Group increased
21.3 percentage points to 196.5%,
remaining above the prudential requirement communicated
by FINMA. The movement in the average LCR was primarily
driven
by
an
increase
in
high-quality
liquidity
assets
(HQLA)
of
USD 110.4bn
to
USD 367.5bn,
partly
offset
by
a
USD 42.3bn increase
in net cash
outflows to USD 187.3bn.
The movements
in both HQLA
and net cash
outflows were
substantially attributable to the
effect of the acquisition
of the Credit Suisse Group
on 12 June 2023, with only
15 days
of post-acquisition effect included in the average
LCR for the second quarter of 2023.
As of
30 September 2023,
the net
stable funding
ratio of
the UBS
Group increased
3.1 percentage points
to 120.7%,
remaining
above
the
prudential
requirement
communicated
by FINMA.
Available
stable
funding
decreased
slightly
by
USD 0.4bn to USD 872.7bn, reflecting higher customer
deposits, substantially offset by a decrease in
debt issued, lower
payables from securities financing
transactions, and lower
capital. Required stable funding
decreased by USD 19.2bn to
USD 722.9bn, predominantly reflecting lower lending assets and, to a lesser extent, lower trading assets, partly offset by
higher derivative balances.
KM1: Key metrics
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
Available capital (amounts)
1
Common Equity Tier 1 (CET1)
1
78,587
80,258
44,590
45,457
44,664
2
Tier 1
1
91,546
93,287
57,694
58,321
59,359
3
Total capital
1
91,546
93,287
58,182
58,806
59,845
Risk-weighted assets (amounts)
4
Total risk-weighted assets (RWA)
546,491
556,603
321,660
319,585
310,615
4a
Minimum capital requirement
2
43,719
44,528
25,733
25,567
24,849
4b
Total risk-weighted assets (pre-floor)
546,491
556,603
321,660
319,585
310,615
Risk-based capital ratios as a percentage of RWA
5
CET1 ratio (%)
1
14.38
14.42
13.86
14.22
14.38
6
Tier 1 ratio (%)
1
16.75
16.76
17.94
18.25
19.11
7
Total capital ratio (%)
1
16.75
16.76
18.09
18.40
19.27
Additional CET1 buffer requirements as a percentage of RWA
8
Capital conservation buffer requirement (%)
2.50
2.50
2.50
2.50
2.50
9
Countercyclical buffer requirement (%)
0.15
0.11
0.09
0.07
0.02
9a
Additional countercyclical buffer for Swiss mortgage loans
(%)
0.31
0.30
0.27
0.27
0.26
10
Bank G-SIB and / or D-SIB additional requirements (%)
1.00
1.00
1.00
1.00
1.00
11
Total of bank CET1 specific buffer requirements (%)
3
3.65
3.61
3.59
3.57
3.52
12
CET1 available after meeting the bank’s minimum capital requirements (%)
8.75
8.76
9.36
9.72
9.88
Basel III leverage ratio
13
Total Basel III leverage ratio exposure measure
1,615,817
1,677,877
1,014,446
1,028,461
989,787
14
Basel III leverage ratio (%)
1
5.67
5.56
5.69
5.67
6.00
Liquidity coverage ratio (LCR)
4
15
Total high-quality liquid assets (HQLA)
367,518
257,107
230,208
238,585
240,420
16
Total net cash outflow
187,256
144,973
142,160
145,972
147,832
16a
of which: cash outflows
344,862
275,298
264,653
262,123
263,699
16b
of which: cash inflows
157,606
130,325
122,493
116,151
115,866
17
LCR (%)
196.53
175.24
161.93
163.72
162.68
Net stable funding ratio (NSFR)
18
Total available stable funding
872,742
556,270
561,431
533,866
19
Total required stable funding
722,927
472,662
468,496
443,487
20
NSFR (%)
120.72
117.69
119.84
120.38
1 As of 1 July 2022, capital amounts exclude the transitional
relief of recognizing ECL allowances and provisions in CET1
capital in accordance with FINMA Circular 2013/1 “Eligible capital –
banks”.
2 Calculated
as 8% of total RWA,
based on total capital minimum
requirements, excluding CET1 buffer
requirements.
3 Excludes non-BCBS capital buffer
requirements for risk-weighted positions
that are directly or
indirectly
backed by residential properties in Switzerland.
4 Calculated after the application of haircuts
and inflow and outflow rates,
as well as, where applicable,
caps on Level 2 assets and cash
inflows. Calculated based
on an average
of 63 data
points in the
third quarter of
2023 and 64
data points in
the second quarter
of 2023. For
the prior-quarter
data points,
refer to the
respective Pillar 3
Report, available
under “Pillar 3
disclosures” at ubs.com/investors, for more information.
KM2: Key metrics – TLAC requirements (at resolution group level)
1
USD m, except where indicated
30.9.23
30.6.23
31.3.23
31.12.22
30.9.22
1
Total loss-absorbing capacity (TLAC) available
2
2
Total RWA at the level of the resolution group
3
TLAC as a percentage of RWA (%)
4
Leverage ratio exposure measure at the level of the resolution group
5
TLAC as a percentage of leverage ratio exposure measure (%)
6a
Does the subordination exemption in the antepenultimate
paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6b
Does the subordination exemption in the penultimate paragraph of
Section 11 of the FSB TLAC Term Sheet apply?
No
6c
If the capped subordination exemption applies, the amount of funding
issued that ranks pari passu with excluded liabilities and that is
recognized as external TLAC, divided by funding issued that ranks pari
passu with excluded liabilities and that would be recognized
as external
TLAC if no cap was applied (%)
N/A – Refer to our response to 6b.
1 Resolution group level is defined as the UBS
Group AG consolidated level.
2 As of 1 July 2022, our capital amounts
exclude the transitional relief of recognizing ECL
allowances and provisions in CET1 capital in
accordance with FINMA Circular 2013/1 “Eligible capital – banks”.