UBS : 31 March 2024 Pillar 3 Report – UBS Group and significant regulated subsidiaries and sub-groups (published May 7, 2024)

Pillar 3 Report

31 March 2024

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 contents

Contacts

UBS Group
2	Section 1	Introduction and basis for preparation
4	Section 2	Key metrics
6	Section 3	Overview of risk-weighted assets
10	Section 4	Going and gone concern requirements
		and eligible capital
11	Section 5	Leverage ratio
13	Section 6	Liquidity and funding
Significant regulated subsidiaries and sub-groups
15	Section 1	Introduction
16	Section 2	UBS AG consolidated
20	Section 3	UBS AG standalone
24	Section 4	UBS Switzerland AG standalone
30	Section 5	UBS Europe SE consolidated
31	Section 6	UBS Americas Holding LLC consolidated
32	Section 7	Credit Suisse AG consolidated
36	Section 8	Credit Suisse AG standalone
40	Section 9	Credit Suisse (Schweiz) AG consolidated

1. Section 10 Credit Suisse (Schweiz) AG standalone

1. Section 11 Credit Suisse International standalone
2. Section 12 Credit Suisse Holdings (USA),
   Inc. consolidated

Appendix

1. Abbreviations frequently used in our financial reports

1. Cautionary statement

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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

Swiss Federal Council releases its report on systemically important banks

In April 2024, the Swiss Federal Council released its report on banking stability that evaluates the regulation of systemically important banks. The report includes a comprehensive review of the acquisition of the Credit Suisse Group and concludes that the existing Swiss too-big-to-fail (TBTF) regime must be further developed and strengthened. The Swiss Federal Council proposes to introduce a broad package of measures, focused on three areas: strengthening prevention, strengthening liquidity and expanding the crisis toolkit.

Preventive measures include proposals to strengthen the capital base, to improve resolvability and tighten capital requirements for global systemically important banks, including the introduction of forward-looking elements for institution-specific Pillar 2 capital surcharges and increased capital adequacy requirements for foreign participations. The Swiss Federal Council also recommended preventive measures related to corporate governance, such as a senior management regime and stricter regulations regarding bonuses. To strengthen liquidity, the Swiss Federal Council intends to significantly expand the potential for the Swiss National Bank (the SNB) to provide more liquidity in a crisis. Furthermore, the Swiss Federal Council reiterated its support for the introduction of a public liquidity backstop. To expand the crisis toolkit, the Swiss Federal Council proposed measures that aim to minimize legal risks associated with the execution of resolution measures.

In the first half of 2025, the Swiss Federal Council is expected to present two packages to implement the proposed measures: one with changes at the ordinance level, which can be adopted by the Swiss Federal Council, and another, which will be submitted to the Parliament, with proposed legislative amendments. The Swiss Federal Council has stated that when drafting these two packages it will take into account the findings of the Parliamentary Investigation Committee concerning the role of the Swiss authorities in the rescue of the Credit Suisse Group. Due to the broad range of possible outcomes, the impact of the proposals on UBS can be fully assessed only when the implementation details become clearer.

31 March 2024 Pillar 3 Report | UBS Group | Introduction and basis for preparation

2

FINMA publishes ordinances with implementing provisions for the revised Swiss Capital Adequacy Ordinance

In March 2024, FINMA published five new ordinances to implement the final Basel III standards in Switzerland, replacing various existing FINMA circulars, including ordinances on operational risks and market risks. The ordinances contain the implementing provisions for the Swiss Federal Council's revised Capital Adequacy Ordinance for banks and they will enter into force on 1 January 2025.

The Swiss National Bank will raise the minimum reserve requirement for banks

In April 2024, the SNB announced that it will raise the minimum reserve requirement for domestic banks from 2.5% to 4%, and it will therefore amend the National Bank Ordinance as of 1 July 2024. The SNB further announced that liabilities arising from cancelable customer deposits (excluding tied pension provisions) will be included in full in the calculation of the minimum reserve requirement, as is the case with the other relevant liabilities. This revokes the previous exception under which only 20% of these liabilities counted toward the calculation. Based on preliminary internal assessments, UBS expects a negative impact of USD 70m to USD 80m per annum on net interest income to result from these changes.

Significant BCBS consultation papers

Guidelines for counterparty credit risk management

In April 2024, the BCBS issued a public consultation regarding guidelines for counterparty credit risk (CCR) management. The key areas covered are due diligence of counterparties (both at initial onboarding and on an ongoing basis), the development of a comprehensive credit risk mitigation strategy to effectively manage counterparty exposures, measures to control and limit CCR using a wide variety of complementary metrics, and a strong CCR governance framework. Banks and supervisors are encouraged to take a risk-based and proportionate approach in the application of the guidelines, taking into account the degree of CCR generated by banks' lines of business, their trading and financing activities, and the complexity of such CCR exposures.

Other developments

Capital returns

On 24 April 2024, the shareholders approved a dividend of USD 0.70 per share at the Annual General Meeting. The dividend was paid on 3 May 2024 to shareholders of record on 2 May 2024.

Our 2022 share repurchase program was concluded on 28 March 2024. A total of 298,537,950 UBS Group AG shares were acquired under that program, at an aggregate purchase price of CHF 5,010m, of which CHF 1,202m were acquired in 2023 prior to the announcement of the acquisition of the Credit Suisse Group. On 12 April 2023, the Swiss Takeover Board approved the use of up to 178,031,942 shares repurchased under the 2022 program, and originally intended for cancellation, for the acquisition of the Credit Suisse Group.

On 3 April 2024, we launched a new 2024 share repurchase program of up to USD 2bn over two years. We expect to execute up to USD 1bn of repurchases in 2024, commencing after the completion of the merger of UBS AG and Credit Suisse AG.

• Refer to the "Share information and earnings per share" section of the UBS Group first quarter 2024 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 2023 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 December 2023 for disclosures required on a quarterly basis. Where specifically required by FINMA and / or the BCBS, we disclose comparative information for additional reporting dates.

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

31 March 2024 Pillar 3 Report | UBS Group | Introduction and basis for preparation

3

Key metrics

Key metrics of the first quarter of 2024

The KM1 and KM2 tables below are based on Basel Committee on Banking Supervision (BCBS) Basel III rules. The KM2 table includes a reference to the total loss-absorbing capacity (TLAC) term sheet, published by the Financial Stability Board, which provides this term sheet at fsb.org/2015/11/total-loss-absorbing-capacity-tlac-principles-and-term-sheet.

Our capital ratios increased, mainly reflecting a decrease in risk-weighted assets (RWA). Our leverage ratio increased, predominantly reflecting a decrease in the leverage ratio denominator (the LRD).

Our common equity tier 1 (CET1) capital decreased by USD 0.3bn to USD 78.1bn, mainly reflecting an operating profit before tax of USD 2.4bn, more than offset by negative effects from foreign currency translation of USD 1.3bn, dividend accruals of USD 0.6bn, current tax expenses of USD 0.5bn and amortization of transitional CET1 purchase price allocation (PPA) adjustments (interest rate and own credit) of USD 0.4bn (net of tax).

As part of the acquisition of the Credit Suisse Group in 2023, the assets acquired and liabilities assumed, including contingent liabilities, were recognized at fair value as of the acquisition date in accordance with IFRS 3, Business Combinations. The PPA fair value adjustments required under IFRS 3 were recognized as part of negative goodwill and included effects on financial instruments measured at amortized cost, such as fair value impacts from interest rates and own credit, that are expected to accrete back to par through the income statement as the instruments are held to maturity. Similar own-credit-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-3-accounting-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 be reduced to nil by 30 June 2027. The amortization of transitional CET1 PPA adjustments (interest rate and own credit) since the acquisition date totaled USD 1.0bn (net of tax) as of 31 March 2024, an increase of USD 0.4bn (net of tax) in the first quarter of 2024.

Our tier 1 capital increased by USD 1.1bn to USD 93.5bn, reflecting an increase in additional tier 1 (AT1) capital, partly offset by the aforementioned decrease in CET1 capital. The AT1 capital increase was mainly driven by the issuance of two AT1 capital instruments equivalent to a total of USD 1.5bn.

The TLAC available as of 31 March 2024 included CET1 capital, AT1 capital and non-regulatory capital elements of TLAC. Under the Swiss systemically relevant bank framework, including transitional arrangements, TLAC excludes 45% of the gross unrealized gains on debt instruments measured at fair value through other comprehensive income for accounting purposes, which for regulatory capital purposes are measured at the lower of cost or market value. This amount was negligible as of 31 March 2024 but is included as available TLAC in the KM2 table in this section.

Our available TLAC decreased by USD 2.0bn to USD 197.5bn, mainly due to a decrease in TLAC-eligible senior unsecured debt, partly offset by the aforementioned increase in tier 1 capital. The USD 3.1bn decrease in TLAC-eligible senior unsecured debt mainly reflected the call of USD 2.1bn equivalent of TLAC-eligible senior unsecured debt instruments, a USD 1.9bn equivalent TLAC-eligible senior unsecured debt instrument that ceased to be eligible as gone concern capital when we issued a notice of redemption of the instrument in the first quarter of 2024, a USD 2.4bn senior unsecured debt instrument that was no longer TLAC eligible due to its residual tenor falling below one year, and negative impacts from interest rate risk hedge, foreign currency translation and other effects. These decreases were partly offset by new issuances totaling USD 5.4bn equivalent of TLAC-eligible senior unsecured debt instruments.

During the first quarter of 2024, RWA decreased by USD 20.1bn to USD 526.4bn, mainly driven by decreases of USD 17.4bn in credit risk RWA, USD 3.2bn in RWA related to securitization exposures in the banking book and USD 2.9bn in counterparty credit risk RWA, partly offset by an increase of USD 3.0bn in market risk RWA.

The LRD decreased by USD 95.8bn to USD 1,599.6bn, driven by currency effects of USD 56.3bn and asset size and other movements of USD 39.4bn.

31 March 2024 Pillar 3 Report | UBS Group | Key metrics

4

The quarterly average liquidity coverage ratio (the LCR) of the UBS Group increased 4.6 percentage points to 220.2%, remaining above the prudential requirement communicated by FINMA. The movement in the quarterly average LCR was primarily driven by an increase in high-quality liquid assets of USD 7.0bn to USD 422.6bn, mostly driven by higher cash available from customer deposits and loan repayments. The average net cash outflows decreased by USD 0.7bn to USD 192.1bn, reflecting higher net inflows from securities financing transactions and lower outflows from derivatives and loan commitments, which were partly offset by higher net outflows from customer deposits and loans.

As of 31 March 2024, the net stable funding ratio of the UBS Group increased 1.8 percentage points to 126.4%, remaining above the prudential requirement communicated by FINMA. Available stable funding decreased by USD 39.4bn to USD 887.0bn, mostly reflecting decreases in customer deposits, debt issued and regulatory capital. Required stable funding decreased by USD 41.6bn to USD 701.6bn, predominantly reflecting lower lending assets, mainly driven by negative currency effects.

KM1: Key metrics

USD m, except where indicated

		31.3.24	31.12.23	30.9.23	30.6.23	31.3.231
Available capital (amounts)
1	Common Equity Tier 1 (CET1)	78,147	78,485	77,409	79,080	44,590
2	Tier 1	93,467	92,377	90,369	92,110	57,694
3	Total capital	93,467	92,378	90,369	92,110	58,182
Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	526,437	546,505	546,491	556,603	321,660
4a	Minimum capital requirement2	42,115	43,720	43,719	44,528	25,733
Risk-based capital ratios as a percentage of RWA
5	CET1 ratio (%)	14.84	14.36	14.16	14.21	13.86
6	Tier 1 ratio (%)	17.75	16.90	16.54	16.55	17.94
7	Total capital ratio (%)	17.75	16.90	16.54	16.55	18.09
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	0.14	0.15	0.11	0.09
9a	Additional countercyclical buffer for Swiss mortgage loans (%)	0.32	0.33	0.31	0.30	0.27
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	3.64	3.65	3.61	3.59
12	CET1 available after meeting the bank's minimum capital requirements (%)4	9.75	8.90	8.54	8.55	9.36
Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure	1,599,646	1,695,403	1,615,817	1,677,877	1,014,446
14	Basel III leverage ratio (%)	5.84	5.45	5.59	5.49	5.69
Liquidity coverage ratio (LCR)5
15	Total high-quality liquid assets (HQLA)	422,617	415,594	367,518	257,107	230,208
16	Total net cash outflow	192,106	192,760	187,256	144,973	142,160
16a	of which: cash outflows	348,693	342,096	344,862	275,298	264,653
16b	of which: cash inflows	156,588	149,336	157,606	130,325	122,493
17	LCR (%)	220.21	215.66	196.53	175.24	161.93
Net stable funding ratio (NSFR)
18	Total available stable funding	887,037	926,424	872,742	873,061	556,270
19	Total required stable funding	701,560	743,159	722,927	742,130	472,662
20	NSFR (%)	126.44	124.66	120.72	117.64	117.69

1 Reflects information prior to the acquisition of the Credit Suisse Group. 2 Calculated as 8% of total RWA, based on total capital minimum requirements, excluding CET1 buffer requirements. 3 Excludes non-BCBS capital buffer requirements for risk-weighted positions that are directly or indirectly backed by residential properties in Switzerland. 4 Represents the CET1 ratio that is available to meet buffer requirements. Calculated as the CET1 ratio minus the BCBS CET1 capital requirement and, where applicable, minus the BCBS tier 2 capital requirement met with CET1 capital. 5 Calculated after the application of haircuts and inflow and outflow rates, as well as, where applicable, caps on Level 2 assets and cash inflows. Calculated based on an average of 61 data points in the first quarter of 2024 and 63 data points in the fourth 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

		31.3.24	31.12.23	30.9.23	30.6.23	31.3.232
1	Total loss-absorbing capacity (TLAC) available	197,453	199,484	193,722	194,863	110,319
2	Total RWA at the level of the resolution group	526,437	546,505	546,491	556,603	321,660
3	TLAC as a percentage of RWA (%)	37.51	36.50	35.45	35.01	34.30
4	Leverage ratio exposure measure at the level of the resolution group	1,599,646	1,695,403	1,615,817	1,677,877	1,014,446
5	TLAC as a percentage of leverage ratio exposure measure (%)	12.34	11.77	11.99	11.61	10.87
6a	Does the subordination exemption in the antepenultimate paragraph of			No
	Section 11 of the FSB TLAC Term Sheet apply?
6b	Does the subordination exemption in the penultimate paragraph of			No
	Section 11 of the FSB TLAC Term Sheet apply?

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 Reflects information prior to the acquisition of the Credit Suisse Group.

31 March 2024 Pillar 3 Report | UBS Group | Key metrics

5

Overview of risk-weighted assets

Overview of RWA and capital requirements

The OV1 table below provides an overview of our risk-weighted assets (RWA) and the related minimum capital requirements by risk type. The table presented is based on the respective Swiss Financial Market Supervisory Authority (FINMA) template and empty rows indicate current non-applicability to UBS.

During the first quarter of 2024, RWA decreased by USD 20.1bn to USD 526.4bn, mainly driven by decreases of USD 17.4bn in credit risk RWA, USD 3.2bn in RWA related to securitization exposures in the banking book and USD 2.9bn in counterparty credit risk (CCR) RWA, partly offset by an increase of USD 3.0bn in market risk RWA.

Credit risk RWA decreased by USD 17.4bn, mainly driven by decreases of USD 9.7bn related to currency effects, USD 7.0bn related to asset size and other movements, as well as USD 0.7bn related to model updates and methodology changes. Asset size and other movements decreased by USD 7.0bn, mainly driven by our actions to actively unwind the Non-core and Legacy portfolio, in addition to the natural roll-off. Furthermore, the decrease was driven by lower RWA on loans and loan commitments in Global Wealth Management and Personal & Corporate Banking, partly offset by higher RWA from the high-quality liquid asset portfolio and nostro accounts in Group Items. Model updates and methodology changes resulted in a decrease of USD 0.7bn, mainly reflecting an RWA decrease of USD 1.5bn related to the recalibration of certain multipliers as a result of improvements to models, partly offset by RWA increases from model updates mainly related to income-producing real estate.

RWA related to securitization exposures in the banking book decreased by USD 3.2bn, mainly reflecting our actions to actively unwind the portfolio, including the sale of USD 8bn of senior secured financing facilities to Apollo.

CCR RWA decreased by USD 2.9bn, mainly driven by decreases of USD 2.4bn related to asset size and other movements, USD 0.6bn related to currency effects, partly offset by an increase of USD 0.2bn related to model updates and methodology changes. Asset size and other movements decreased by USD 2.4bn, mainly due to lower RWA on derivatives in the Investment Bank.

Market risk RWA increased by USD 3.0bn, driven by an increase of USD 4.8bn related to model updates and methodology changes, primarily reflecting the FINMA-approved integration of time decay into regulatory value-at-risk (VaR) and stressed VaR for derivatives with optionality, which was partly offset by an improvement in the profit and loss representation of derivatives with multiple underlyings. This impact was partly offset by a decrease of USD 1.8bn from asset size and other movements in the Investment Bank and in Non-core and Legacy. The FINMA-agreed temporary measure that was introduced in the fourth quarter of 2022, and scheduled to be lifted with the implementation of the aforementioned changes, has not yet been removed. The temporary time decay RWA buffer that was introduced in the third quarter of 2021 has dropped to an immaterial level.

The flow tables for credit risk, CCR and market risk RWA below provide further details about the movements in RWA in the first quarter of 2024.

• Refer to the "Introduction and basis for preparation" section of this report for more information about the regulatory standards applied
• Refer to the "Capital management" section of the UBS Group first quarter 2024 report, available under "Quarterly reporting" atubs.com/investors, for more information about capital management and RWA, including details regarding movements in RWA during the first quarter of 2024
• Refer to "Note 2 Accounting for the acquisition of the Credit Suisse Group" in the "Consolidated financial statements" section of the UBS Group first quarter 2024 report, available under "Quarterly reporting" atubs.com/investors, for more information about the sale of senior secured financing facilities to Apollo

31 March 2024 Pillar 3 Report | UBS Group | Overview of risk-weighted assets

6

OV1: Overview of RWA

						Minimum
						capital
						requirements1
USD m	31.3.24	31.12.23	31.3.24
1	Credit risk (excluding counterparty credit risk)	262,330	279,723	20,986
2	of which: standardized approach (SA)	63,902	69,725	5,112
2a	of which: non-counterparty-related risk	16,744	17,979	1,340
3	of which: foundation internal ratings-based(F-IRB) approach
4	of which: supervisory slotting approach	2,351	3,103	188
5	of which: advanced internal ratings-based(A-IRB) approach	196,078	206,896	15,686
6	Counterparty credit risk2	39,989	42,862	3,199
7	of which: SA for counterparty credit risk (SA-CCR)	8,979	9,233	718
8	of which: internal model method (IMM)	15,968	17,273	1,277
8a	of which: value-at-risk (VaR)	9,708	10,996	777
9	of which: other CCR	5,333	5,360	427
10	Credit valuation adjustment (CVA)	8,737	8,807	699
11	Equity positions under the simple risk-weight approach	6,201	5,454	496
12	Equity investments in funds - look-through approach	2,775	2,776	222
13	Equity investments in funds - mandate-based approach	1,057	823	85
14	Equity investments in funds - fallback approach	738	662	59
15	Settlement risk	338	523	27
16	Securitization exposures in banking book	9,671	12,831	774
17	of which: securitization internal ratings-based approach (SEC-IRBA)	5,753	7,000	460
18	of which: securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA)	939	924	75
19	of which: securitization standardized approach (SEC-SA)	2,978	4,907	238
20	Market Risk	24,416	21,398	1,953
21	of which: standardized approach (SA)	512	509	41
22	of which: internal models approach (IMA)	23,904	20,889	1,912
23	Capital charge for switch between trading book and banking book3
24	Operational risk	145,426	145,426	11,634
25	Amounts below thresholds for deduction (250% risk weight)4	24,759	25,219	1,981
25a	of which: deferred tax assets	16,384	16,392	1,311
26	Floor adjustment
27	Total	526,437	546,505	42,115

1 Calculated based on 8% of RWA. 2 Excludes settlement risk, which is separately reported in line 15 "Settlement risk." Includes RWA with central counterparties. The split between the sub-components of counterparty credit risk refers to the calculation of the exposure measure. 3 Not applicable until the implementation of the final rules on the minimum capital requirements for market risk (the Fundamental Review of the Trading Book). 4 Includes items subject to threshold deduction treatment that do not exceed their respective threshold and are risk-weighted at 250%. Items subject to threshold deduction treatment include significant investments in common shares of non-consolidated financial institutions (banks, insurance and other financial entities), deferred tax assets arising from temporary differences, and mortgage servicing rights.

RWA flow statements of credit risk exposures under the internal ratings-based approach

The CR8 table below provides a breakdown of the credit risk RWA movements in the first quarter of 2024 across movement categories defined by the Basel Committee on Banking Supervision (the BCBS).

Credit risk RWA under the internal ratings-based (IRB) approach decreased by USD 11.6bn to USD 198.4bn during the first quarter of 2024. This balance includes credit risk under the advanced IRB approach, as well as credit risk under the supervisory slotting approach.

Currency effects, driven by the strengthening of the US dollar against other major currencies, resulted in an RWA decrease of USD 8.4bn.

Movements in asset size decreased RWA by USD 4.7bn, primarily driven by our actions to actively unwind the Non-core and Legacy portfolio, in addition to the natural roll-off and, to a lesser extent, by lower RWA from loans in Global Wealth Management.

Movements in asset quality, including changes in risk density across the overall portfolio, increased RWA by USD 0.5bn, mainly due to changes in the risk profile in Group Treasury and the Investment Bank. This was partly offset by decreases in Global Wealth Management, as well as in Personal & Corporate Banking, where the risk profile improved slightly.

Model updates resulted in a reduction of USD 0.7bn, mainly reflecting an RWA decrease of USD 1.5bn related to the recalibration of certain multipliers as a result of improvements to models, partly offset by RWA increases from model updates related to income-producing real estate.

Other items resulted in an RWA increase of USD 1.8bn, primarily reflecting a USD 3.0bn overlay for uncertainties associated with the alignment of models and RWA calculations in Credit Suisse platforms with those of UBS.

• Refer to "Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7" in the "Credit risk" section of the 31 December 2023 Pillar 3 Report, available under "Pillar 3 disclosures" atubs.com/investors, for definitions of credit risk RWA movement table components

31 March 2024 Pillar 3 Report | UBS Group | Overview of risk-weighted assets

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CR8: RWA flow statements of credit risk exposures under IRB

		For the quarter
USD m	ended 31.3.24
1	RWA as of the beginning of the quarter	209,998
2	Asset size	(4,748)
3	Asset quality	529
4	Model updates	(737)
5	Methodology and policy
5a	of which: regulatory add-ons
6	Acquisitions and disposals
7	Foreign exchange movements	(8,441)
8	Other	1,828
9	RWA as of the end of the quarter	198,429

RWA flow statements of counterparty credit risk exposures under the internal model method and VaR

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 securities financing transactions (SFTs).

CCR RWA on derivatives under the IMM decreased by USD 1.3bn to USD 16.0bn during the first quarter of 2024. Asset size movements contributed to an RWA decrease of USD 3.2bn, primarily due to a client-driven decrease in the Investment Bank and de-risking of Non-core and Legacy assets. Foreign exchange movements resulted in an RWA decrease of USD 0.4bn. These decreases were partly offset by an increase of USD 2.2bn from asset quality movements, primarily due to changes in the average risk density in the Investment Bank and Non-core and Legacy.

CCR RWA on SFTs under the VaR approach decreased by USD 1.3bn to USD 9.7bn during the first quarter of 2024. An RWA decrease of USD 1.5bn from asset quality movements was primarily driven by changes in the average risk density in the Investment Bank and Group Items. Foreign exchange movements resulted in an RWA decrease of USD 0.1bn. These decreases were partly offset by an increase of USD 0.2bn due to asset size movements.

• Refer to "Definitions of credit risk and counterparty credit risk RWA movement table components for CR8 and CCR7" in the "Credit risk" section of the 31 December 2023 Pillar 3 Report, available under "Pillar 3 disclosures" atubs.com/investors, for definitions of CCR RWA movement table components

CCR7: RWA flow statements of CCR exposures under the internal model method (IMM) and value-at-risk (VaR)

USD m

1. RWA as of the beginning of the quarter
2. Asset size
3. Credit quality of counterparties
4. Model updates
5. Methodology and policy

5a of which: regulatory add-ons

1. Acquisitions and disposals
2. Foreign exchange movements
3. Other
4. RWA as of the end of the quarter

For the quarter ended 31.3.24

Derivatives	SFTs	Total
Subject to IMM	Subject to VaR
17,273	10,996	28,270
(3,180)	192	(2,988)
2,157	(1,456)	701
69	86	155
(352)	(110)	(462)
15,968	9,708	25,676

RWA flow statements of market risk exposures under an internal models approach

The three main components that contribute to market risk RWA are regulatory VaR, stressed value-at-risk (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 first quarter of 2024 under an internal models approach across those components, pursuant to the movement categories defined by the BCBS.

Market risk RWA increased by USD 3.0bn to USD 23.9bn in the first quarter of 2024, driven by an increase that stems from the FINMA-approved integration of time decay into regulatory VaR and stressed VaR for derivatives with optionality, which was partly offset by an improvement in the profit and loss representation of derivatives with multiple underlyings. This impact was partly offset by a decrease in asset size and other movements. The FINMA-agreed temporary measure that was introduced in the fourth quarter of 2022, and scheduled to be lifted with the implementation of the aforementioned changes, has not yet been removed. The temporary time decay RWA buffer that was introduced in the third quarter of 2021 has dropped to an immaterial level.

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.

• Refer to "Definitions of market risk RWA movement table components for MR2" in the "Market risk" section of the 31 December 2023 Pillar 3 Report, available under "Pillar 3 disclosures" atubs.com/investors, for definitions of market risk RWA movement table components

31 March 2024 Pillar 3 Report | UBS Group | Overview of risk-weighted assets

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