UBS : 30 June 2022 Pillar 3 Report – UBS Group and significant regulated subsidiaries and sub-groups (published August 19, 2022)

30 June 2022 Pillar 3 Report

UBS Group and significant regulated subsidiaries and sub-groups

Terms used in this report, unless the context requires otherwise

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

Table of contents

Contacts

UBS Group
2	Section 1	Introduction and basis for preparation
5	Section 2	Key metrics
8	Section 3	Overview of risk-weighted assets
10	Section 4	Credit risk
22	Section 5	Counterparty credit risk
28	Section 6	Securitizations
29	Section 7	Market risk
32	Section 8	Going and gone concern requirements
		and eligible capital
38	Section 9	Total loss-absorbing capacity
40	Section 10	Leverage ratio

42 Section 11 Liquidity and funding

45 Section 12 Requirements for global systemically important banks and related indicators

Significant regulated subsidiaries and sub-groups

46	Section 1	Introduction
47	Section 2	UBS AG standalone
51	Section 3	UBS Switzerland AG standalone
58	Section 4	UBS Europe SE consolidated
59	Section 5	UBS Americas Holding LLC consolidated

Appendix

1. Abbreviations frequently used in our financial reports

1. Cautionary statement

Switchboards

For all general inquiries ubs.com/contact

Zurich [phone]

London [phone]

New York [phone]

Hong Kong SAR [phone]

Singapore [phone]

Investor Relations

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

ubs.com/investors

Zurich [phone] New York [phone]

Media Relations

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

ubs.com/media

Zurich [phone] [e-mail]

London [phone] [e-mail]

New York [phone] [e-mail]

Hong Kong SAR [phone] [e-mail]

Office of the Group Company Secretary

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

UBS Group AG, Office of the

Group Company Secretary

P.O. Box, CH-8098 Zurich,

Switzerland

[e-mail]

Zurich [phone]

Shareholder Services

UBS's Shareholder Services team, a unit of the Group Company Secretary's office, manages relationships with shareholders and the registration of UBS Group AG registered shares.

UBS Group AG, Shareholder Services

P.O. Box, CH-8098 Zurich,

Switzerland

[e-mail]

Zurich [phone]

US Transfer Agent

For global registered share-related inquiries in the US.

Computershare Trust Company NA

P.O. Box 505000

Louisville, KY 40233-5000, USA

Shareholder online inquiries: www-us.computershare.com/ investor/contact

Shareholder website: computershare.com/investor

Calls from the US

[phone]

Calls from outside the US [phone]

TDD for hearing impaired [phone]

TDD for foreign shareholders [phone]

Imprint

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

Language: English

© UBS 2022. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rights reserved.

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 and prudential key figures and regulatory information for UBS AG standalone, UBS Switzerland AG standalone, UBS Europe SE consolidated and UBS Americas Holding LLC consolidated in the respective sections under "Significant regulated subsidiaries and sub-groups."

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

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

• Refer to the "Capital management" section of our second quarter 2022 report, available under "Quarterly reporting" atubs.com/investors, for more information about capital and other regulatory information as of 30 June 2022 for UBS Group AG consolidated, and to the "Capital management" section of the UBS AG second quarter 2022 report, available under "Quarterly reporting" at ubs.com/investors, for more information about capital and other regulatory information for UBS AG consolidated

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

Significant regulatory developments, disclosure requirements and other changes effective in the first half of 2022

FINMA's annual assessment of recovery and resolution plans

In March 2022, FINMA presented its annual assessment of the recovery and resolution plans of systemically important financial institutions in Switzerland. In its report, FINMA acknowledged the further progress that UBS has made with regard to its global resolvability by significantly reducing remaining obstacles to the implementation of its resolution strategy and making further improvements to its recovery plans. FINMA considered UBS's global recovery plan and Swiss emergency plan to be effective, while identifying areas for further improvement that UBS will address in the course of 2022 and beyond.

Revisions to the Swiss Banking Ordinance

In April 2022, the Swiss Federal Department of Finance (the FDF) launched a consultation on proposed revisions to the Swiss Banking Ordinance that follows the amendment to the Banking Act adopted by the Swiss Parliament in December 2021, enacting insolvency provisions for banks into statutory law and strengthening the deposit insurance framework. It also sets out amendments that aim to replace the current resolvability discount on the gone concern capital requirements for systemically important banks with a capital surcharge for obstacles to the firm's resolvability at the discretion of the authorities. The consultation period ended on 15 July 2022 and we expect the final rules to be published by the end of 2022.

UBS Group | Introduction and basis for preparation

2

Significant regulatory developments, disclosure requirements and other changes to be adopted after the first half of 2022

Revision of the Swiss liquidity requirements

In June 2022, the Swiss Federal Council adopted the revisions to the Swiss Liquidity Ordinance. The revisions will increase the regulatory minimum liquidity requirements for systemically important banks, including UBS Group AG. The increase in UBS's liquidity requirements remains uncertain pending supervisory guidance from FINMA. The final rule became effective on 1 July 2022, with a transition period of 18 months.

In accordance with Article 31b of the Liquidity Ordinance, the FDF provided a report to the Swiss Federal Council in which it reviewed Swiss and foreign provisions regarding the net stable funding ratio. The report identified no need for regulatory action.

Amendment of the Swiss Capital Adequacy Ordinance regarding the final implementation of Basel III

In July 2022, the FDF launched a consultation on amending the Swiss Capital Adequacy Ordinance with the aim of implementing the final elements of the BCBS reforms (Basel III) in Swiss law. In parallel, FINMA has opened a consultation on the associated implementing circulars.

We currently estimate that the implementation of the revised Basel III framework may lead to a net increase in risk- weighted assets (RWA) of around USD 20bn in 2024, excluding mitigating actions. The estimate includes credit risk and operational risk RWA from the finalization of the Basel III framework, as well as market risk and credit valuation adjustment RWA from the fundamental review of the trading book (the FRTB), based on our current understanding of the relevant standards. The precise impact might change as a result of new or revised regulatory interpretations, including those related to historical operational losses and model calibration, the implementation of Basel III standards into national law, changes in business growth, market conditions and other factors.

The consultations will last until 25 October 2022. The Swiss Federal Council's Capital Adequacy Ordinance and the associated FINMA ordinances are scheduled to enter into force on 1 July 2024, with the phasing in of certain elements until 2028.

FINMA revision of Circular 2008/21 "Operational Risks - Banks"

In July 2022, FINMA completed a consultation regarding the revision of Circular 2008/21 "Operational Risks - Banks," which will incorporate the BCBS's new Principles on Operational Resilience into the FINMA framework. The circular will also cover the updated Principles for the Sound Management of Operational Risk, which cover a range of issues, including managing information and communication technology risks, cyber risks, and the risks involving critical data. The revised circular will enter into force on 1 January 2023, and firms will be given three years thereafter to comply with the operational resilience elements thereof.

Introduction of a Swiss public liquidity backstop

In conjunction with the revision of the Swiss Liquidity Ordinance, the Swiss Federal Council announced the key parameters for a public liquidity backstop in March 2022. The liquidity backstop would enable the Swiss government and the Swiss National Bank to support the liquidity of a systemically important bank domiciled in Switzerland in the process of resolution. The introduction of the backstop is intended to increase the confidence of market participants in the ability of systemically important banks to become successfully recapitalized and remain solvent in a crisis situation. The FDF is expected to issue a consultation by mid-2023.

Other developments effective in the first half of 2022

Capital returns

On 6 April 2022, the shareholders approved a dividend of USD 0.50 per share at the Annual General Meeting. The dividend was paid on 14 April 2022 to shareholders of record on 13 April 2022.

The 2021 share repurchase program was concluded on 29 March 2022. A total of 240.3m UBS Group AG shares were acquired at an aggregate purchase price of CHF 3,810m, of which 87.7m shares were repurchased during the first quarter of 2022.

On 31 March 2022, we commenced a new 2022 share repurchase program of up to USD 6bn over two years. From 1 January 2022 to 30 June 2022, we repurchased 180m shares for a total acquisition cost of CHF 3,091m (USD 3,270m) under the 2021 and 2022 share repurchase programs. We expect to execute around USD 5bn of repurchases in aggregate in 2022 under the 2021 and 2022 share repurchase programs.

• Refer to the "Share information and earnings per share" section of our first quarter 2022 report, available under "Quarterly reporting" atubs.com/investors, for more information

UBS Group | Introduction and basis for preparation

3