MD&A - Risk management and control - Credit Risk (Detail)

12 Months Ended

Dec. 31, 2022

Entity [Table]

Internal UBS rating scale and mapping of external ratings [text block]

Internal UBS rating scale and mapping of external ratings

Internal UBS rating

1-year PD range in %

Description

Moody’s Investors

Service mapping

S&P mapping

Fitch mapping

0 and 1

0.00–0.02

Investment grade

Aaa

AAA

AAA

2

0.02–0.05

Aa1 to Aa3

AA+ to AA–

AA+ to AA–

3

0.05–0.12

A1 to A3

A+ to A–

A+ to A–

4

0.12–0.25

Baa1 to Baa2

BBB+ to BBB

BBB+ to BBB

5

0.25–0.50

Baa3

BBB–

BBB–

6

0.50–0.80

Sub-investment grade

Ba1

BB+

BB+

7

0.80–1.30

Ba2

BB

BB

8

1.30–2.10

Ba3

BB–

BB–

9

2.10–3.50

B1

B+

B+

10

3.50–6.00

B2

B

B

11

6.00–10.00

B3

B–

B–

12

10.00–17.00

Caa1 to Caa2

CCC+ to CCC

CCC+ to CCC

13

>17

Caa3 to C

CCC- to C

CCC- to C

Counterparty is in default 

Default

Defaulted

D

D

UBS AG

Entity [Table]

Internal UBS rating scale and mapping of external ratings [text block]

Internal UBS rating scale and mapping of external ratings

Internal UBS rating

1-year PD range in %

Description

Moody’s Investors

Service mapping

S&P mapping

Fitch mapping

0 and 1

0.00–0.02

Investment grade

Aaa

AAA

AAA

2

0.02–0.05

Aa1 to Aa3

AA+ to AA–

AA+ to AA–

3

0.05–0.12

A1 to A3

A+ to A–

A+ to A–

4

0.12–0.25

Baa1 to Baa2

BBB+ to BBB

BBB+ to BBB

5

0.25–0.50

Baa3

BBB–

BBB–

6

0.50–0.80

Sub-investment grade

Ba1

BB+

BB+

7

0.80–1.30

Ba2

BB

BB

8

1.30–2.10

Ba3

BB–

BB–

9

2.10–3.50

B1

B+

B+

10

3.50–6.00

B2

B

B

11

6.00–10.00

B3

B–

B–

12

10.00–17.00

Caa1 to Caa2

CCC+ to CCC

CCC+ to CCC

13

>17

Caa3 to C

CCC- to C

CCC- to C

Counterparty is in default 

Default

Defaulted

D

D