UBS : 30 June 2023 Pillar 3 Report – UBS Group and significant regulated subsidiaries and sub-groups (published August 31, 2023)

Pillar 3 Report

30 June 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 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 contents

Contacts

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

48 Section 11 Liquidity and funding

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

Significant regulated subsidiaries and sub-groups

52	Section 1	Introduction
53	Section 2	UBS AG consolidated
57	Section 3	UBS AG standalone
61	Section 4	UBS Switzerland AG standalone
68	Section 5	UBS Europe SE consolidated
69	Section 6	UBS Americas Holding LLC consolidated
71	Section 7	Credit Suisse AG consolidated
75	Section 8	Credit Suisse AG standalone
79	Section 9	Credit Suisse (Schweiz) AG consolidated

1. Section 10 Credit Suisse (Schweiz) AG standalone

1. Section 11 Credit Suisse International standalone

1. Section 12 Credit Suisse Holdings (USA),
   Inc. consolidated

Appendix

1. Abbreviations frequently used in our financial reports

1. Cautionary statement

General inquiries

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Imprint

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

Language: English

© UBS 2023. 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, 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 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, 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 sub- groups" at ubs.com/investors.

Significant regulatory developments, disclosure requirements and other changes

Introduction of a public liquidity backstop in Switzerland

In May 2023, the Swiss Federal Council (the SFC) launched a consultation on the introduction of a public liquidity backstop (the PLB) for systemically important banks (SIBs) which was initially implemented as part of the emergency ordinance issued in connection with Credit Suisse Group. The proposed legislative changes aim to establish the PLB instrument as part of ordinary law in order to enable the Swiss government and the Swiss National Bank to support an SIB domiciled in Switzerland with liquidity in the process of resolution, in line with other financial centers. The introduction of the PLB is intended to increase the confidence of market participants in the ability of SIBs to become successfully recapitalized and remain solvent in a crisis. The final proposal is expected to be presented to the Swiss Parliament by the SFC in September 2023, and, if adopted, legislative changes are expected to come into force by January 2025.

Further developments regarding the acquisition of Credit Suisse Group by UBS

The Swiss Federal Department of Finance (the FDF) is undertaking a review of the circumstances that led to the acquisition of the Credit Suisse Group by UBS. In May 2023, it convened a group of experts on banking stability to work on strategic considerations regarding the role of banks and the national framework related to the stability of the Swiss financial center. The group of experts is expected to present its findings to the FDF in the third quarter of 2023. The experts' findings will be considered by the SFC in its bi-annualtoo-big-to-fail (TBTF) review report by April 2024.

30 June 2023 Pillar 3 Report | UBS Group | Introduction and basis for preparation

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Impact of our acquisition of 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. UBS has accounted for the acquisition as a business combination under IFRS 3, Business Combinations, applying the acquisition method of accounting. As part of the acquisition method of accounting, the assets and liabilities of the Credit Suisse Group have been converted from US generally accepted accounting principles (GAAP) to International Financial Reporting Standards (IFRS) and have been remeasured at fair value at the acquisition date. The acquisition of the Credit Suisse Group resulted in a USD 237.7bn increase in RWA. As agreed with FINMA, the aggregation of the advanced measurement approach (AMA) models considering diversification effects resulted in a USD 10bn reduction in operational risk RWA in the second quarter of 2023. In addition, UBS Group will be subject to higher too-big-to-fail capital requirements for market share and total exposure after an appropriate transition period to be agreed with FINMA. The phase in of the increased capital requirements will commence from the end of 2025 and will be completed by the beginning of 2030 at the latest. We enhanced the Pillar 3 report to include the following disclosures as a result of that 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 of Credit Suisse Group" section and "Note 2 Acquisition of Credit Suisse Group" in the "Consolidated financial statements" section of the UBS Group second quarter 2023 report, available under "Quarterly reporting" atubs.com/investors, for more information

Frequency and comparability of Pillar 3 disclosures

FINMA has specified the reporting frequency for each disclosure, as outlined in the "Introduction and basis for preparation" section of the 31 December 2022 Pillar 3 Report, available under "Pillar 3 disclosures" at ubs.com/investors.

In line with the FINMA-specified disclosure frequency and requirements for disclosure with regard to comparative periods, we provide quantitative comparative information as of 31 March 2023 for disclosures required on a quarterly basis and as of 31 December 2022 for disclosures required on a semi-annual basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.

Where required, movement commentary is aligned with the corresponding disclosure frequency required by FINMA and always refers to the latest comparative period. Throughout this report, signposts are displayed at the beginning of a section, table or chart - Semi-annual| Quarterly | - indicating whether the disclosure is provided semi-annually or quarterly. A triangle symbol -   - indicates the end of the signpost.

• Refer to the 31 March 2023 Pillar 3 Report, available under "Pillar 3 disclosures" atubs.com/investors, for more information about previously published quarterly movement commentary
• Refer to the 31 December 2022 Pillar 3 Report, available under "Pillar 3 disclosures" atubs.com/investors, for more information about previously published semi-annual movement commentary

30 June 2023 Pillar 3 Report | UBS Group | Introduction and basis for preparation

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