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Fair value measurement
 12 Months Ended
Dec. 31, 2023
Disclosure Of Fair Value Measurement [Line Items]  
Disclosure Of Fair Value Measurement Explanatory
Note 21
 
Fair value measurement
 
 
a) Valuation principles
All financial and non-financial
 
assets and liabilities
 
measured or disclosed
 
at fair value
 
are categorized into
 
one of three
fair
 
value
 
hierarchy
 
levels
 
in
 
accordance
 
with
 
IFRS
 
Accounting
 
Standards.
 
The
 
fair
 
value
 
hierarchy
 
is
 
based
 
on
 
the
transparency
 
of inputs
 
to the
 
valuation of
 
an asset
 
or liability
 
as of
 
the measurement
 
date. In
 
certain cases,
 
the inputs
used to measure fair value may fall within different
 
levels of the fair value hierarchy.
 
For disclosure purposes, the level in
the hierarchy within which an instrument is classified in its entirety is based on the lowest level input
 
that is significant to
the position’s fair value measurement:
–
Level 1 – quoted prices (unadjusted) in active markets
 
for identical assets and liabilities;
–
Level 2 – valuation techniques for which all significant inputs
 
are, or are based on, observable market data;
 
or
–
Level 3 – valuation techniques for which significant inputs
 
are not based on observable market data.
Fair values are determined using quoted
 
prices in active markets for
 
identical assets or liabilities, where available.
 
Where
the
 
market
 
for
 
a
 
financial
 
instrument
 
or
 
non-financial
 
asset
 
or
 
liability
 
is
 
not
 
active,
 
fair
 
value
 
is
 
established
 
using
 
a
valuation
 
technique,
 
including
 
pricing
 
models.
 
Valuation
 
adjustments
 
may
 
be
 
made
 
to
 
allow
 
for
 
additional
 
factors,
including model, liquidity, credit
 
and funding risks, which are
 
not explicitly captured within
 
the valuation technique, but
which would nevertheless
 
be considered by
 
market participants
 
when establishing a
 
price. The limitations
 
inherent in a
particular valuation technique
 
are considered in
 
the determination of
 
the classification of
 
an asset or
 
liability within the
fair value hierarchy. Generally, the unit of account for a financial instrument is the individual instrument, and UBS applies
valuation
 
adjustments
 
at
 
an
 
individual
 
instrument
 
level,
 
consistent
 
with
 
that
 
unit
 
of
 
account.
 
However,
 
if
 
certain
conditions
 
are
 
met,
 
UBS
 
may
 
estimate
 
the
 
fair
 
value
 
of
 
a
 
portfolio
 
of
 
financial
 
assets
 
and
 
liabilities
 
with
 
substantially
similar and offsetting risk exposures on the basis of the
 
net open risks.
›
Refer to Note 21d for more information
 
b) Valuation governance
UBS’s
 
fair
 
value
 
measurement
 
and
 
model
 
governance
 
framework
 
includes
 
numerous
 
controls
 
and
 
other
 
procedural
safeguards that
 
are intended
 
to maximize
 
the quality
 
of fair
 
value measurements
 
reported
 
in the
 
financial statements.
New products and
 
valuation techniques
 
must be reviewed
 
and approved
 
by key stakeholders
 
from the
 
risk and finance
control functions. Responsibility
 
for the ongoing measurement
 
of financial and non-financial
 
instruments at fair value
 
is
with the business divisions.
 
Fair
 
value
 
estimates
 
are
 
validated
 
by
 
the
 
risk
 
and
 
finance
 
control
 
functions,
 
which
 
are
 
independent
 
of
 
the
 
business
divisions. Independent price verification is performed by Finance through benchmarking the business divisions’ fair
 
value
estimates
 
with
 
observable
 
market
 
prices
 
and
 
other
 
independent
 
sources.
 
A
 
governance
 
framework
 
and
 
associated
controls are
 
in place
 
in order
 
to monitor
 
the quality
 
of third-party
 
pricing sources
 
where
 
used. For
 
instruments
 
where
valuation models are used to
 
determine fair value, independent
 
valuation and model control
 
groups within Finance and
Risk Control evaluate
 
UBS’s models on
 
a regular basis, including
 
valuation and model input
 
parameters, as well
 
as pricing.
As a result
 
of the valuation
 
controls employed, valuation
 
adjustments may be
 
made to the
 
business divisions’ estimates
of fair value to align with independent market data
 
and the relevant accounting standard.
›
Refer to Note 21d for more information
 
c) Fair value hierarchy
The table
 
below provides the
 
fair value
 
hierarchy classification of
 
financial and non-financial
 
assets and
 
liabilities measured
at
 
fair
 
value.
 
The
 
narrative
 
that
 
follows
 
describes
 
valuation
 
techniques
 
used
 
in
 
measuring
 
their
 
fair
 
value
 
of
 
different
product types
 
(including significant
 
valuation inputs
 
and assumptions
 
used), and
 
the factors
 
considered in
 
determining
their classification within the fair value hierarchy.
During
 
2023,
 
and
 
for
 
Credit
 
Suisse
 
for
 
the
 
period
 
between
 
the
 
acquisition
 
date
 
and
 
31
 
December
 
2023,
 
assets
 
and
liabilities that were transferred from Level 2
 
to Level 1, or from Level 1 to Level 2,
 
and were held for the entire reporting
period were not material.
 
Level 3 assets increased
 
by USD 26.5bn as
 
of 31 December 2023,
 
compared to 31 December
2022, following
 
the acquisition of
 
the Credit
 
Suisse Group, including
 
the reclassification of
 
financial assets from
 
amortized
cost to fair value through profit or loss in the
 
second half of 2023 (with retrospective adjustment
 
of the acquisition date
balance sheet), mainly
 
reflecting USD
19
bn of traded
 
loans, including USD
5
bn of securitized
 
lending facilities, a
 
USD
6
bn
loan with securitization collateral and USD
3
bn of revolving loan facilities, that were deemed unobservable.
Further, in the fourth quarter
 
of 2023, UBS prospectively amended
 
its approach to testing for
 
observability as part of an
accounting methodology
 
alignment following
 
the acquisition
 
of the
 
Credit Suisse
 
Group. This
 
methodological change
enhances UBS’s assessment
 
of sensitivities to
 
unobservable valuation
 
parameters. Application
 
of the new
 
methodology
as of 31 December 2022 would have
 
resulted in USD
1.3
bn lower Level 3 liabilities (as of
 
31 December 2023 the balance
of affected liabilities in Level 3 was USD
1.9
bn), with an offsetting impact to Level 2 liabilities.
In addition, the levelling of USD
2.4
bn of financial assets at fair value held for trading (loans) from the Credit Suisse sub-
group
 
was
 
finalized
 
in
 
compliance
 
with
 
the
 
new
 
aligned
 
methodology.
 
This
 
has
 
been
 
reflected
 
retrospectively
 
to
 
the
acquisition balance sheet date of 31 May
 
2023, resulting in a USD
2.4
bn increase in Level 3 Financial assets at
 
fair value
held
 
for
 
trading
 
(loans)
 
and
 
a
 
USD
17
m
 
increase
 
in
 
Level 3
 
Derivative
 
financial
 
liabilities
 
as
 
of
 
31
 
May
 
2023,
 
with
 
an
offsetting effect in Level 2 assets and liabilities, respectively.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Determination of fair values from quoted market
 
prices or valuation techniques
1
31.12.23
31.12.22
USD m
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
Financial assets measured at fair value on a recurring basis
Financial assets at fair value held for trading
118,975
28,045
22,613
169,633
96,241
10,138
1,488
107,866
of which: Equity instruments
102,602
1,403
321
104,325
83,074
789
126
83,988
of which: Government bills / bonds
6,995
8,763
73
15,830
5,496
950
18
6,464
of which: Investment fund units
8,392
1,124
129
9,645
6,673
596
61
7,330
of which: Corporate and municipal bonds
984
12,801
1,284
15,069
976
6,363
541
7,880
of which: Loans
0
3,837
19,618
23,456
0
1,179
628
1,807
of which: Asset-backed securities
3
112
133
248
22
261
114
397
Derivative financial instruments
622
172,903
2,559
176,084
769
147,875
1,464
150,108
of which: Foreign exchange
347
78,060
253
78,659
575
84,881
2
85,458
of which: Interest rate
0
55,190
407
55,597
0
39,345
460
39,805
of which: Equity / index
0
34,174
1,299
35,473
1
21,542
653
22,195
of which: Credit
0
3,456
513
3,969
0
719
318
1,038
of which: Commodities
1
1,869
13
1,883
0
1,334
30
1,365
Brokerage receivables
0
21,037
0
21,037
0
17,576
0
17,576
Financial assets at fair value not held for trading
30,717
64,865
8,435
104,018
26,572
29,498
3,725
59,796
of which: Financial assets for unit-linked investment contracts
15,877
7
0
15,884
13,071
1
0
13,072
of which: Corporate and municipal bonds
62
16,722
215
17,000
35
14,101
230
14,366
of which: Government bills / bonds
14,306
4,801
0
19,107
13,103
3,638
0
16,741
of which: Loans
0
4,252
2,258
6,510
0
3,602
736
4,337
of which: Securities financing transactions
0
36,857
52
36,909
0
7,590
114
7,704
of which: Asset-backed securities
0
1,525
180
1,704
0
0
0
0
of which: Auction rate securities
0
0
1,208
1,208
0
0
1,326
1,326
of which: Investment fund units
367
548
678
1,592
307
566
190
1,063
of which: Equity instruments
105
38
3,097
2
3,241
57
0
792
849
Financial assets measured at fair value through other comprehensive income on
 
a recurring basis
Financial assets measured at fair value through other comprehensive
 
income
68
2,165
0
2,233
57
2,182
0
2,239
of which: Commercial paper and certificates of deposit
0
1,948
0
1,948
0
1,878
0
1,878
of which: Corporate and municipal bonds
68
207
0
276
57
278
0
335
Non-financial assets measured at fair value on a recurring basis
Precious metals and other physical commodities
5,930
0
0
5,930
4,471
0
0
4,471
Non-financial assets measured at fair value on a non-recurring basis
Other non-financial assets
3
0
0
31
31
0
0
110
110
Total assets measured at fair value
156,312
289,015
33,639
478,966
128,110
207,269
6,788
342,166
of which: Credit Suisse
4
7,015
91,133
26,455
124,603
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Determination of fair values from quoted market
 
prices or valuation techniques (continued)
1
31.12.23
31.12.22
USD m
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
Financial liabilities measured at fair value on a recurring basis
Financial liabilities at fair value held for trading
27,684
6,315
161
34,159
23,578
5,823
114
29,515
of which: Equity instruments
18,266
248
92
18,606
16,521
352
78
16,951
of which: Corporate and municipal bonds
28
4,981
62
5,071
36
4,643
27
4,707
of which: Government bills / bonds
8,559
905
0
9,464
5,880
706
1
6,587
of which: Investment fund units
832
118
4
954
1,141
84
3
1,229
Derivative financial instruments
771
185,815
5,595
192,181
640
152,582
1,684
154,906
of which: Foreign exchange
 
457
89,394
36
89,887
587
87,897
24
88,508
of which: Interest rate
 
0
52,673
246
52,920
0
37,429
116
37,545
of which: Equity / index
 
0
38,046
3,333
41,380
0
24,963
1,184
26,148
of which: Credit
0
4,081
619
4,700
0
920
279
1,199
of which: Commodities
0
1,437
21
1,458
0
1,309
52
1,361
of which: Loan commitments measured at FVTPL
0
135
1,037
1,172
0
19
24
43
Financial liabilities designated at fair value on a recurring basis
Brokerage payables designated at fair value
0
42,522
0
42,522
0
45,085
0
45,085
Debt issued designated at fair value
0
113,012
15,276
128,289
0
63,111
10,527
73,638
Other financial liabilities designated at fair value
0
26,878
2,606
29,484
0
29,547
691
30,237
of which: Financial liabilities related to unit-linked investment contracts
0
15,992
0
15,992
0
13,221
0
13,221
of which: Securities financing transactions
0
7,416
0
7,416
0
15,333
0
15,333
of which: Over-the-counter debt instruments and other
0
3,471
2,606
6,076
0
993
691
1,684
Total liabilities measured at fair value
28,454
374,542
23,638
426,635
24,219
296,148
13,015
333,381
of which: Credit Suisse
4
2,355
85,859
10,305
98,519
1 Bifurcated embedded derivatives are presented on the same balance sheet lines
 
as their host contracts and are not included in this table. The fair value of these derivatives was not
 
material for the periods presented.
 
2 Includes a USD
0.6
bn investment in Pfandbriefbank schweizerischer Hypothekarinstitute
 
AG. UBS holds
20
% of the entity’s voting
 
rights but cannot exercise significant influence
 
given the governance structure of
the entity.
 
3 Other non-financial assets primarily consist of properties and other non-current assets held for sale, which are measured at
 
the lower of their net carrying amount or fair value less costs to sell.
 
4 Refer
to Note 2 for more information about the acquisition of the Credit Suisse Group.
Valuation techniques
 
UBS uses widely
 
recognized valuation techniques for determining the
 
fair value of financial
 
and non-financial instruments
that are
 
not actively
 
traded and
 
quoted. The
 
most frequently
 
applied valuation
 
techniques include
 
discounted value
 
of
expected cash flows, relative value and option pricing
 
methodologies.
Discounted
 
value
 
of
 
expected
 
cash
 
flows
 
is
 
a
 
valuation
 
technique
 
that
 
measures
 
fair
 
value
 
using
 
estimated
 
expected
future cash flows from
 
assets or liabilities and
 
then discounts these
 
cash flows using a
 
discount rate or discount
 
margin
that
 
reflects
 
the
 
credit and
 
/ or
 
funding spreads
 
required
 
by the
 
market
 
for
 
instruments with
 
similar
 
risk and
 
liquidity
profiles to
 
produce
 
a present
 
value. When
 
using such
 
valuation
 
techniques,
 
expected
 
future cash
 
flows are
 
estimated
using an observed
 
or implied
 
market price
 
for the future
 
cash flows or
 
by using
 
industry-standard cash
 
flow projection
models.
 
The
 
discount
 
factors
 
within
 
the
 
calculation
 
are
 
generated
 
using
 
industry-standard
 
yield
 
curve
 
modeling
techniques and models.
Relative
 
value models
 
measure fair
 
value based
 
on the
 
market prices
 
of equivalent
 
or comparable
 
assets or
 
liabilities,
 
making
adjustments
 
for differences
 
between the
 
characteristics
 
of the observed
 
instrument and
 
the instrument
 
being valued.
Option
 
pricing
 
models
 
incorporate
 
assumptions
 
regarding
 
the
 
behavior
 
of
 
future
 
price
 
movements
 
of
 
an
 
underlying
referenced
 
asset
 
or
 
assets
 
to
 
generate
 
a
 
probability-weighted
 
future
 
expected
 
payoff
 
for
 
the
 
option.
 
The
 
resulting
probability-weighted expected
 
payoff is
 
then discounted
 
using discount
 
factors generated
 
from industry-standard
 
yield
curve modeling
 
techniques and
 
models. The
 
option pricing
 
model may
 
be implemented
 
using a
 
closed-form analytical
formula or other mathematical techniques (e.g., binomial tree
 
or Monte Carlo simulation).
Where available, valuation techniques use
 
market-observable assumptions and inputs. If
 
such data is not
 
available, inputs
may be derived
 
by reference
 
to similar assets
 
in active markets,
 
from recent prices
 
for comparable
 
transactions or
 
from
other observable market data.
 
In such cases,
 
the inputs selected are
 
based on historical
 
experience and practice for
 
similar
or analogous
 
instruments, derivation of
 
input levels
 
based on
 
similar products
 
with observable price
 
levels, and
 
knowledge
of current market conditions and valuation approaches.
 
 
 
 
 
 
Deferred day-1 profit or loss reserves
USD m
2023
2022
2021
Reserve balance at the beginning of the year
422
418
269
Profit / (loss) deferred on new transactions
260
299
459
(Profit) / loss recognized in the income statement
(278)
(295)
(308)
Foreign currency translation
0
0
(2)
Reserve balance at the end of the year
404
422
418
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
For
 
more
 
complex
 
instruments,
 
fair
 
values
 
may
 
be
 
estimated
 
using
 
a
 
combination
 
of
 
observed
 
transaction
 
prices,
consensus pricing services and relevant
 
quotes. Consideration is given
 
to the nature of
 
the quotes (e.g., indicative
 
or firm)
and the relationship
 
of recently evidenced
 
market activity to
 
the prices provided by
 
consensus pricing services.
 
UBS also
uses internally developed models,
 
which are typically based on
 
valuation methods and techniques recognized
 
as standard
within the industry. Assumptions
 
and inputs used in
 
valuation techniques include
 
benchmark interest rate
 
curves, credit
and funding
 
spreads
 
used in
 
estimating
 
discount
 
rates, bond
 
and equity
 
prices, equity
 
index prices,
 
foreign
 
exchange
rates, levels of market volatility and correlation. Refer to Note
 
21e for more information. The discount curves used by the
Group incorporate the funding and credit characteristics
 
of the instruments to which they are applied.
Financial instruments excluding derivatives: valuation and classification in the fair value hierarchy
Product
Valuation and classification in the fair value hierarchy
Government bills
and bonds
Valuation
–
Generally valued using prices obtained directly
 
from the market.
–
Instruments
 
not
 
priced
 
directly
 
using
 
active-market data
 
are
 
valued
 
using
 
discounted
 
cash
 
flow
valuation techniques that incorporate market
 
data for similar government instruments.
 
Fair value hierarchy
–
Generally traded
 
in active
 
markets with
 
prices that
 
can be
 
obtained directly
 
from these
 
markets,
resulting in
 
classification as
 
Level 1, while
 
the remaining
 
positions are
 
classified as
 
Level 2 and
 
Level 3.
Corporate and
municipal bonds
Valuation
–
Generally valued using prices obtained directly
 
from the market for the security, or
 
similar securities,
adjusted for seniority, maturity and liquidity.
–
When
 
prices
 
are
 
not
 
available,
 
instruments
 
are
 
valued
 
using
 
discounted
 
cash
 
flow
 
valuation
techniques incorporating the credit spread of
 
the issuer or similar issuers.
–
For convertible
 
bonds without
 
directly comparable
 
prices, issuances
 
may be
 
priced using
 
a convertible
bond model.
Fair value hierarchy
–
Generally classified as
 
Level 1 or
 
Level 2, depending on
 
the depth
 
of trading
 
activity behind
 
price
sources.
–
Level 3 instruments have no suitable pricing information
 
available.
Traded loans and
loans measured at
fair value
Valuation
–
Valued directly using
 
market prices that
 
reflect recent transactions
 
or quoted dealer
 
prices, where
available.
–
Where no
 
market price
 
data
 
is available,
 
loans are
 
valued by
 
relative value
 
benchmarking using
pricing derived from
 
debt instruments
 
in comparable entities
 
or different products
 
in the same
 
entity,
or by using a
 
credit default swap
 
valuation technique,
 
which requires inputs
 
for credit spreads,
 
credit
recovery rates and interest rates.
 
–
Securitization lending
 
facilities are
 
valued using
 
a
 
discounted cashflow
 
analysis that
 
incorporates
adjustments for any bespoke
 
features of the loan
 
and collateral. Recently originated
 
commercial real
estate loans are measured using a securitization
 
approach based on rating agency guidelines.
Fair value hierarchy
–
Instruments with suitably deep and liquid pricing
 
information are classified as Level 2.
–
Positions requiring the use of valuation techniques, or for
 
which the price sources have insufficient
trading depth, are classified as Level 3.
Investment fund
units
Valuation
–
Predominantly exchange-traded,
 
with readily
 
available quoted
 
prices in
 
liquid markets.
 
Where market
prices are not available, fair value may be measured
 
using net asset values (NAVs).
Fair value hierarchy
–
Listed units
 
are classified
 
as Level 1,
 
provided there
 
is sufficient
 
trading activity
 
to justify
 
active-market
classification, while other positions are classified
 
as Level 2.
–
Positions for which NAVs are not available,
 
or where the unit or underlying investments are
 
illiquid
are classified as Level 3.
Asset-backed
securities (ABS)
Valuation
–
For liquid securities, the valuation process will use trade and
 
price data, updated for movements in
market levels
 
between the
 
time of
 
trading and
 
the time
 
of valuation.
 
Less liquid
 
instruments are
measured using discounted expected cash flows incorporating price data for instruments or indices
with similar risk profiles.
Fair value hierarchy
–
Residential mortgage-backed securities,
 
commercial mortgage-backed securities and other ABS are
generally
 
classified
 
as
 
Level 2.
 
However,
 
if
 
significant
 
inputs
 
are
 
unobservable,
 
or
 
if
 
market
 
or
fundamental data is not available, they
 
are classified as Level 3.
Auction rate
securities (ARS)
Valuation
–
ARS are valued utilizing a discounted cash flow methodology. The model captures interest rate
 
risk
emanating
 
from
 
the
 
note
 
coupon,
 
credit
 
risk
 
attributable
 
to
 
the
 
underlying
 
closed-end
 
fund
investments,
 
liquidity
 
risk
 
as
 
a
 
function
 
of
 
the
 
level
 
of
 
trading
 
volume
 
in
 
these
 
positions,
 
and
extension risk,
 
as ARS are perpetual instruments
 
that require an assumption
 
regarding their maturity
or issuer redemption date.
 
Fair value hierarchy
–
Granular and liquid
 
pricing information is
 
generally not available
 
for ARS. As
 
a result, these securities
are classified as Level 3.
Equity instruments
Valuation
–
Listed equity instruments are generally valued
 
using prices obtained directly from the market.
–
Unlisted equity holdings, including private
 
equity positions, are initially
 
marked at their transaction
price and are
 
revalued when reliable
 
evidence of
 
price movement becomes
 
available or when
 
the
position is deemed to be impaired.
 
Fair value hierarchy
–
The majority of equity securities are actively traded on public stock exchanges where quoted prices
are readily and regularly available, resulting
 
in Level 1 classification.
–
Equity securities less actively traded will be
 
classified as Level 2 and illiquid positions
 
as Level 3.
Financial assets for
unit-linked
investment
contracts
Valuation
–
The majority of assets are listed on exchanges
 
and fair values are determined using quoted
 
prices.
Fair value hierarchy
–
Most assets are classified as Level 1 if actively traded
 
or Level 2 if trading is not active.
–
Instruments for which prices are not readily available
 
are classified as Level 3.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Product
Valuation and classification in the fair value hierarchy
Securities
financing
transactions
Valuation
–
These instruments
 
are valued
 
using discounted expected
 
cash flow
 
techniques. The
 
discount rate
applied is based on funding curves that are relevant
 
to the collateral eligibility terms.
Fair value hierarchy
–
Collateral
 
funding
 
curves
 
for
 
these
 
instruments
 
are
 
generally
 
observable
 
and,
 
as
 
a
 
result,
 
these
positions are classified as Level 2.
–
Where the
 
collateral terms are
 
non-standard, the
 
funding curve
 
may be
 
considered unobservable
and these positions are classified as Level 3.
Brokerage
receivables and
payables
Valuation
–
Fair value is determined based on the value of
 
the underlying balances.
Fair value hierarchy
–
Due to their on-demand nature, these receivables
 
and payables are deemed as Level 2.
Financial liabilities
related to unit-
linked investment
contracts
Valuation
–
The fair values of investment contract liabilities are determined by reference to the fair value of the
corresponding assets.
Fair value hierarchy
–
The liabilities themselves are
 
not actively traded
 
but are mainly
 
referenced to instruments that
 
are
actively traded and are therefore classified
 
as Level 2.
Precious metals
and other physical
commodities
Valuation
–
Physical assets are valued using the spot rate
 
observed in the relevant market.
Fair value hierarchy
–
Generally traded
 
in active
 
markets with
 
prices that
 
can be
 
obtained directly
 
from these
 
markets,
resulting in classification as Level 1.
Debt issued
designated at fair
value
Valuation
–
The risk management and
 
the valuation approaches for these
 
instruments are closely aligned with
the equivalent derivatives
 
business and the
 
underlying risk, and
 
the valuation techniques
 
used for
this component are the same as the relevant
 
valuation techniques described below.
Fair value hierarchy
–
The observability is closely aligned with the equivalent
 
derivatives business and the underlying risk.
Commercial paper
and certificates of
deposit
Valuation
–
Generally valued using
 
discounted cash flow valuation
 
techniques incorporating the spread
 
of the
issuer or similar issuers over the underlying currency
 
risk-free curve.
Fair value hierarchy
–
Due to the
 
short-dated nature of
 
the positions and
 
liquid underlying
 
pricing inputs they
 
are generally
classified as Level 2.
Derivative instruments: valuation and classification
 
in the fair value hierarchy
The curves used
 
for discounting expected cash
 
flows in the
 
valuation of collateralized
 
derivatives reflect the funding
 
terms
associated with the relevant collateral arrangement for the instrument
 
being valued. These collateral arrangements differ
across
 
counterparties
 
with
 
respect
 
to
 
the
 
eligible
 
currency
 
and
 
interest
 
terms
 
of
 
the
 
collateral.
 
The
 
majority
 
of
collateralized derivatives are
 
measured using a discount
 
curve based on funding rates
 
derived from overnight interest
 
in
the cheapest eligible currency for the respective
 
counterparty collateral agreement.
Uncollateralized and
 
partially collateralized
 
derivatives are
 
discounted using
 
the alternative
 
reference rate
 
(the ARR)
 
(or
equivalent)
 
curve
 
for
 
the
 
currency
 
of the
 
instrument. As
 
described
 
in Note
 
21d, the
 
fair
 
value
 
of uncollateralized
 
and
partially collateralized
 
derivatives
 
is then
 
adjusted
 
by credit
 
valuation
 
adjustments
 
(CVAs),
 
debit valuation
 
adjustments
(DVAs) and
 
funding valuation
 
adjustments (FVA
 
s), as
 
applicable,
 
to reflect
 
an estimation
 
of the
 
effect
 
of counterparty
credit risk, UBS’s own credit
 
risk, and funding costs and benefits.
›
Refer to Note 11 for more information about derivative
 
instruments
Derivative product
Valuation and classification in the fair value hierarchy
Interest rate
contracts
Valuation
–
Interest rate
 
swap contracts
 
are valued
 
by estimating
 
future interest
 
cash flows
 
and discounting
 
those
cash flows using a rate
 
that reflects the appropriate funding rate for
 
the position being measured.
The yield curves used to estimate
 
future index levels and discount
 
rates are generated using market-
standard yield
 
curve models
 
using interest
 
rates associated
 
with
 
current market
 
activity. The
 
key
inputs to the models are interest rate swap rates, forward rate agreement rates, short-term interest
rate futures prices, basis swap spreads and
 
inflation swap rates.
–
Interest rate option contracts are valued using various market-standard option models,
 
using inputs
that include interest rate yield curves, inflation
 
curves, volatilities and correlations.
–
When the maturity of an interest rate swap or option
 
contract exceeds the term for which standard
market
 
quotes
 
are
 
observable
 
for
 
a
 
significant
 
input
 
parameter,
 
the
 
contracts
 
are
 
valued
 
by
extrapolation from the last observable point using standard assumptions
 
or by reference to another
observable comparable input parameter to represent
 
a suitable proxy for that portion of the term.
Fair value hierarchy
–
The majority of
 
interest rate swaps
 
are classified as
 
Level 2, as the
 
standard market contracts
 
that
form the inputs for yield curve models are generally
 
traded in active and observable markets.
–
Options are generally treated as Level 2, as the
 
calibration process enables the model output to be
validated to active-market
 
levels. Models calibrated
 
in this way are
 
then used to revalue
 
the portfolio
of both standard options and more exotic
 
products.
–
Interest rate
 
swap
 
or
 
option contracts
 
are
 
classified as
 
Level 3 when
 
the terms
 
exceed standard
market-observable quotes.
–
Exotic options
 
for which
 
appropriate volatility
 
or
 
correlation input
 
levels cannot
 
be implied
 
from
observable market data are classified as Level 3.
 
 
 
 
 
 
 
 
 
 
 
Derivative product
Valuation and classification in the fair value hierarchy
Credit derivative
contracts
Valuation
–
Credit
 
derivative contracts
 
are
 
valued using
 
industry-standard models
 
based primarily
 
on
 
market
credit spreads, upfront pricing points and implied recovery rates. Where a derivative credit
 
spread is
not directly available, it may be derived from
 
the price of the reference cash bond.
 
–
Asset-backed
 
credit
 
derivatives
 
are
 
valued
 
using
 
a
 
valuation
 
technique
 
similar
 
to
 
that
 
of
 
the
underlying security
 
with an
 
adjustment to reflect
 
the funding differences
 
between cash
 
and synthetic
form.
Fair value hierarchy
–
Single-entity and
 
portfolio credit
 
derivative contracts
 
are classified
 
as Level 2 when
 
credit spreads
 
and
recovery rates are
 
determined from actively
 
traded observable market
 
data. Where the
 
underlying
reference name(s) are not actively traded and the correlation cannot be directly
 
mapped to actively
traded tranche instruments, these contracts
 
are classified as Level 3.
 
–
Asset-backed credit derivatives
 
follow the characteristics
 
of the underlying
 
security and are therefore
distributed across Level 2 and Level 3.
Foreign exchange
contracts
Valuation
–
Open spot foreign
 
exchange (FX) contracts
 
are valued using the
 
FX spot rate observed
 
in the market.
–
Forward FX contracts are valued using
 
the FX spot rate adjusted for forward
 
pricing points observed
from standard market-based sources.
–
Over-the-counter
 
(OTC)
 
FX
 
option
 
contracts
 
are
 
valued
 
using
 
market-standard
 
option
 
valuation
models. The models used for shorter-dated options (i.e.,
 
maturities of five years or less)
 
tend to be
different than those
 
used for longer-dated
 
options because
 
the models needed
 
for longer-dated
 
OTC
FX contracts require additional consideration
 
of interest rate and FX rate interdependency.
–
The valuation for multi-dimensional
 
FX options uses a
 
multi-local volatility model,
 
which is calibrated
to the observed FX volatilities for all relevant
 
FX pairs.
Fair value hierarchy
–
The markets for FX spot and FX forward pricing points are both actively traded and observable and
therefore such FX contracts are generally classified
 
as Level 2.
 
–
A significant
 
proportion of OTC
 
FX option
 
contracts are classified
 
as Level 2
 
as inputs
 
are derived
mostly from standard market contracts traded
 
in active and observable markets.
Equity / index
contracts
Valuation
–
Equity
 
forward
 
contracts
 
have
 
a
 
single
 
stock
 
or
 
index
 
underlying and
 
are
 
valued
 
using
 
market-
standard models. The key inputs
 
to the models are stock prices,
 
estimated dividend rates and
 
equity
funding rates (which
 
are implied from
 
prices of forward
 
contracts observed
 
in the market).
 
Estimated
cash flows are
 
then discounted
 
using market-standard
 
discounted cash flow
 
models using a
 
rate that
reflects
 
the
 
appropriate funding
 
rate
 
for
 
that
 
portion
 
of
 
the
 
portfolio. When
 
no
 
market
 
data
 
is
available
 
for
 
the
 
instrument maturity,
 
they are
 
valued
 
by
 
extrapolation of
 
available
 
data,
 
use
 
of
historical dividend data, or use of data for
 
a related equity.
 
–
Equity option contracts are valued
 
using market-standard models that estimate the equity
 
forward
level as
 
described for
 
equity forward
 
contracts and
 
incorporate inputs
 
for stock
 
volatility and
 
for
correlation
 
between
 
stocks
 
within
 
a
 
basket.
 
The
 
probability-weighted
 
expected
 
option
 
payoff
generated is then
 
discounted using market-standard discounted
 
cash flow models
 
applying a rate
that reflects the appropriate funding rate for that
 
portion of the portfolio. When volatility, forward
or correlation inputs
 
are not available,
 
they are valued
 
using extrapolation
 
of available data,
 
historical
dividend, correlation or volatility data,
 
or the equivalent data for a related equity.
Fair value hierarchy
–
As inputs
 
are derived
 
mostly from
 
standard market
 
contracts traded
 
in active
 
and observable
 
markets,
a significant proportion of equity forward contracts
 
are classified as Level 2.
 
–
Equity option positions for which
 
inputs are derived from standard
 
market contracts traded in
 
active
and observable markets are also classified as Level 2. Level 3 positions are those for which volatility,
forward or correlation inputs are not observable.
Commodity
contracts
Valuation
–
Commodity
 
forward
 
and
 
swap
 
contracts
 
are
 
measured
 
using
 
market-standard
 
models
 
that
 
use
market forward levels on standard instruments.
 
–
Commodity option contracts are measured using market-standard option models that estimate the
commodity forward
 
level as
 
described for
 
commodity forward
 
and swap
 
contracts, incorporating
inputs for the volatility of the underlying index or commodity. For commodity
 
options on baskets of
commodities or bespoke
 
commodity indices,
 
the valuation technique
 
also incorporates inputs
 
for the
correlation between different commodities or
 
commodity indices.
Fair value hierarchy
–
Individual commodity
 
contracts are
 
typically classified
 
as Level 2,
 
because active
 
forward and
 
volatility
market data is available.
Loan commitments
measured at FVTPL
Valuation
–
Valued directly using
 
market prices that
 
reflect recent transactions
 
or quoted dealer
 
prices, where
available.
–
Where
 
no
 
market
 
price
 
data
 
is
 
available,
 
loan
 
commitments
 
are
 
valued
 
by
 
relative
 
value
benchmarking
 
using
 
pricing
 
derived
 
from
 
debt
 
instruments
 
in
 
comparable
 
entities
 
or
 
different
products in the
 
same entity, or
 
by using a
 
credit default swap valuation
 
technique, which requires
inputs for credit spreads, credit recovery rates
 
and interest rates.
Fair value hierarchy
–
Instruments with suitably deep and liquid pricing
 
information are classified as Level 2.
–
Positions requiring the use of valuation techniques, or for
 
which the price sources have insufficient
trading depth, are classified as Level 3.
 
d) Valuation adjustments and other items
The output
 
of a
 
valuation technique
 
is always
 
an estimate of
 
a fair
 
value that
 
cannot be
 
measured with complete
 
certainty.
As a result,
 
valuations are adjusted where appropriate
 
and when such
 
factors would be
 
considered by market participants
in estimating fair value, to reflect close-out costs, credit exposure, model-driven valuation uncertainty,
 
funding costs and
benefits, trading restrictions and other factors.
 
Deferred day-1 profit or loss reserves
For new
 
transactions where
 
the valuation
 
technique used
 
to measure
 
fair value
 
requires
 
significant inputs
 
that are
 
not
based on observable market data, the financial instrument is initially recognized at the transaction price. The transaction
price may differ from the fair value obtained using
 
a valuation technique, where any such difference
 
is deferred and not
initially recognized in the income statement.
 
Deferred day-1 profit or loss
 
is generally released into
Other net income from financial
 
instruments measured at fair value
through profit
 
or loss
 
when pricing
 
of equivalent
 
products or
 
the underlying
 
parameters
 
becomes observable
 
or when
the transaction is closed out.
The
 
table
 
below
 
summarizes
 
the
 
changes
 
in
 
deferred
 
day-1
 
profit
 
or
 
loss
 
reserves
 
during
 
the
 
respective
 
period.
 
In
accordance with IFRS, no
 
day-1 profit or loss
 
reserves were recognized on
 
positions acquired with the Credit
 
Suisse Group
and no significant new positions were originated between
 
the acquisition date and 31 December 2023.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Valuation techniques and inputs used in the fair value measurement
 
of Level 3 assets and liabilities
Fair value
Significant
unobservable
input(s)
1
Range of inputs
Assets
Liabilities
Valuation
technique(s)
31.12.23
31.12.22
USD bn
31.12.23
31.12.22
31.12.23
31.12.22
low
high
weighted
average
2
low
high
weighted
average
2
unit
1
Financial assets and liabilities at fair value held for trading and Financial assets at fair
 
value not held for trading
Corporate and municipal
bonds
1.5
0.8
0.1
0.0
Relative value to
market comparable
Bond price equivalent
5
126
99
14
112
85
points
Discounted expected
cash flows
Discount margin
135
491
463
412
412
basis
points
Traded loans, loans
measured at fair value,
loan commitments and
guarantees
22.0
1.7
0.0
0.0
Relative value to
market comparable
Loan price equivalent
1
120
88
30
100
97
points
Discounted expected
cash flows
Credit spread
19
2,681
614
200
200
200
basis
points
Market comparable
and securitization
model
Credit spread
162
1,849
318
145
1,350
322
basis
points
Option model
Gap risk
0
2
0
%
Auction rate securities
1.2
1.3
Discounted expected
cash flows
Credit spread
135
205
150
115
196
144
basis
points
Investment fund units
3
0.8
0.3
0.0
0.0
Relative value to
market comparable
Net asset value
Equity instruments
3
3.4
0.9
0.1
0.1
Relative value to
market comparable
Price
Debt issued designated at
fair value
4
15.3
10.5
Other financial liabilities
designated at fair value
2.6
0.7
Discounted expected
cash flows
Funding spread
51
201
23
175
basis
points
Derivative financial instruments
Interest rate
0.4
0.5
0.2
0.1
Option model
Volatility of interest
rates
45
154
75
143
basis
points
Volatility of inflation
1
6
%
IR-to-IR correlation
4
100
%
Credit
0.5
0.3
0.6
0.3
Discounted expected
cash flows
Credit spreads
 
1
2,421
9
565
basis
points
Credit correlation
50
66
%
Credit volatility
60
60
%
Bond price equivalent
2
242
3
277
points
Recovery rates
14
100
%
Option model
Credit spreads
 
26
2,159
basis
points
Equity / index
1.3
0.7
3.3
1.2
Option model
Equity dividend yields
0
17
0
20
%
Volatility of equity
stocks, equity and
other indices
4
142
4
120
%
Equity-to-FX
correlation
(40)
77
(29)
84
%
Equity-to-equity
correlation
(50)
100
(25)
100
%
Loan commitments
measured at FVTPL
1.0
Relative value to
market comparable
Loan price equivalent
35
102
points
1 The ranges of significant
 
unobservable inputs are represented in
 
points, percentages and basis
 
points. Points are a
 
percentage of par (e.g., 100
 
points would be 100% of par).
 
2 Weighted averages are provided
for most non-derivative financial
 
instruments and were calculated
 
by weighting inputs based on
 
the fair values of the
 
respective instruments. Weighted
 
averages are not provided
 
for inputs related to Other
 
financial
liabilities designated at
 
fair value
 
and Derivative
 
financial instruments,
 
as this would
 
not be meaningful.
 
3 The
 
range of
 
inputs is not
 
disclosed, as there
 
is a dispersion
 
of values
 
given the diverse
 
nature of
 
the
investments.
 
4 Debt issued designated at fair value primarily consists of UBS structured
 
notes, which include variable maturity notes with various
 
equity and foreign exchange underlying risks, as well as rates
 
-linked
and credit-linked notes,
 
all of which have embedded
 
derivative parameters that are
 
considered to be unobservable.
 
The equivalent derivat
 
ive instrument parameters for debt
 
issued or embedded derivatives
 
for over-
the-counter debt instruments are presented in the respective derivative financial instruments lines in this table.
Own credit
 
Own
 
credit
 
risk
 
is
 
reflected
 
in
 
the
 
valuation
 
of
 
UBS’s
 
fair
 
value
 
option
 
liabilities
 
where
 
this
 
component
 
is
 
considered
relevant for valuation purposes by UBS’s counterparties
 
and other market participants.
Changes in
 
the fair
 
value of
 
financial liabilities
 
designated at
 
fair value
 
through profit
 
or loss
 
related to
 
own credit
 
are
recognized
 
in
Other
 
comprehensive
 
income
 
directly
 
within
Retained
 
earnings,
 
with
 
no
 
reclassification
 
to
 
the
 
income
statement
 
in
 
future
 
periods.
 
This
 
presentation
 
does
 
not
 
create
 
or
 
increase
 
an
 
accounting
 
mismatch
 
in
 
the
 
income
statement, as the Group does not hedge changes in own
 
credit.
Own credit is estimated using own credit adjustment (OCA) curves, which incorporate observable market data,
 
including
market-observed secondary prices for UBS’s debt
 
and debt curves of peers. In the
 
table below, the change in unrealized
own credit
 
consists of
 
changes in
 
fair value
 
that are
 
attributable to
 
the change
 
in UBS’s
 
credit spreads,
 
as well
 
as the
effect of changes in
 
fair values attributable
 
to factors other
 
than credit spreads,
 
such as redemptions,
 
effects from time
decay and
 
changes in
 
interest and
 
other market
 
rates. Realized
 
own credit
 
is recognized
 
when an
 
instrument with
 
an
associated
 
unrealized
 
OCA
 
is
 
repurchased
 
prior
 
to
 
the
 
contractual
 
maturity
 
date.
 
Life-to-date
 
amounts
 
reflect
 
the
cumulative unrealized change since initial recognition.
›
Refer to Note 16 for more information about debt
 
issued designated at fair value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Own credit adjustments on financial liabilities
 
designated at fair value
Included in Other comprehensive income
For the year ended
USD m
31.12.23
31.12.22
31.12.21
Recognized during the period:
Realized gain / (loss)
 
8
1
(14)
Unrealized gain / (loss)
 
(1,858)
866
60
Total gain / (loss), before tax
(1,850)
867
46
USD m
31.12.23
31.12.22
31.12.21
Recognized on the balance sheet as of the end of the period:
Unrealized life-to-date gain / (loss)
 
(1,287)
556
(315)
of which: debt issued designated at fair value
(1,297)
453
(347)
of which: other financial liabilities designated at fair value
10
103
32
Own credit
 
adjustments on
 
financial liabilities designated
 
at fair
 
value includes
 
a life-to-date loss
 
of USD
974
m attributable
to Credit Suisse.
Credit valuation adjustments
In
 
order
 
to
 
measure
 
the
 
fair
 
value
 
of
 
OTC
 
derivative
 
instruments,
 
including
 
funded
 
derivative
 
instruments
 
that
 
are
classified as
Financial assets at
 
fair value
 
not held
 
for trading,
 
CVAs are needed to
 
reflect the credit
 
risk of
 
the counterparty
inherent
 
in
 
these
 
instruments.
 
This
 
amount
 
represents
 
the
 
estimated
 
fair
 
value
 
of
 
protection
 
required
 
to
 
hedge
 
the
counterparty credit risk of
 
such instruments. A CVA
 
is determined for each counterparty,
 
considering all exposures with
that counterparty,
 
and is dependent on the expected future
 
value of exposures, default probabilities
 
and recovery rates,
applicable collateral or netting arrangements, break
 
clauses, funding spreads, and other contractual
 
factors.
 
Funding valuation adjustments
FVAs
 
reflect
 
the
 
costs
 
and
 
benefits
 
of
 
funding
 
associated
 
with
 
uncollateralized
 
and
 
partially
 
collateralized
 
derivative
receivables and payables
 
and are calculated
 
as the valuation effect
 
from moving the
 
discounting of the uncollateralized
derivative cash flows from the ARR to OCA using the CVA
 
framework, including the probability of counterparty
 
default.
An FVA is also applied to collateralized
 
derivative assets in cases where the collateral
 
cannot be sold or repledged.
Debit valuation adjustments
A DVA is estimated to incorporate own credit in the valuation of derivatives where an FVA is not already recognized. The
DVA calculation
 
is effectively consistent with
 
the CVA framework,
 
being determined for each counterparty,
 
considering
all exposures
 
with that
 
counterparty
 
and taking
 
into account
 
collateral
 
netting agreements,
 
expected
 
future
 
mark-to-
market movements and UBS’s credit default spreads.
Other valuation adjustments
Instruments that are measured as
 
part of a
 
portfolio of combined long
 
and short positions
 
are valued at mid-market levels
to ensure consistent valuation
 
of the long- and
 
short-component risks. A liquidity
 
valuation adjustment is then
 
made to
the overall
 
net long
 
or short
 
exposure to
 
move the
 
fair value
 
to bid
 
or offer
 
as appropriate,
 
reflecting current
 
levels of
market
 
liquidity.
 
The bid–offer
 
spreads
 
used in
 
the calculation
 
of this
 
valuation adjustment
 
are
 
obtained from
 
market
transactions and other relevant sources and
 
are updated periodically.
Uncertainties
 
associated
 
with
 
the
 
use of
 
model-based
 
valuations
 
are
 
incorporated
 
into the
 
measurement
 
of fair
 
value
through the use
 
of model reserves. These
 
reserves reflect the amounts
 
that the Group
 
estimates should be deducted
 
from
valuations produced directly
 
by models to incorporate
 
uncertainties in the relevant
 
modeling assumptions, in the
 
model
and market inputs used,
 
or in the calibration
 
of the model output
 
to adjust for known
 
model deficiencies. In arriving
 
at
these estimates,
 
the Group
 
considers a
 
range of
 
market practices,
 
including how
 
it believes
 
market participants
 
would
assess these uncertainties. Model reserves
 
are reassessed periodically in light
 
of data from market
 
transactions, consensus
pricing services and other relevant sources.
 
 
 
 
 
 
 
 
 
Other valuation adjustment reserves on the
 
balance sheet
As of
USD m
31.12.23
31.12.22
31.12.21
Credit valuation adjustments
1
(145)
(33)
(44)
Funding and debit valuation adjustments
(116)
(46)
(47)
Other valuation adjustments
(2,654)
(839)
(913)
of which: liquidity
(2,051)
(311)
(341)
of which: model uncertainty
(603)
(529)
(571)
1 Amount does not include reserves against defaulted counterparties.
 
Credit valuation adjustments and Funding
 
and debit valuation adjustments include USD
108
m and USD
34
m respectively,
attributable
 
to the
 
Credit Suisse
 
Group.
 
Liquidity
 
and
 
model uncertainty
 
adjustments
 
in Credit
 
Suisse
 
amount
 
to USD
1,741
m and USD
181
m, respectively.
e) Level 3 instruments: valuation techniques and inputs
 
The table below presents
 
material Level 3 assets
 
and liabilities, together
 
with the valuation techniques
 
used to measure
fair value,
 
the inputs
 
used in
 
a given
 
valuation technique
 
that are
 
considered significant
 
as of
 
31 December 2023
 
and
unobservable, and a range of values for those unobservable inputs.
 
The range of
 
values represents the highest-
 
and lowest-level inputs used
 
in the valuation
 
techniques. Therefore, the range
does not
 
reflect the level
 
of uncertainty regarding
 
a particular
 
input or
 
an assessment
 
of the reasonableness
 
of the
 
Group’s
estimates and assumptions, but rather the different underlying characteristics of the relevant assets and liabilities held by
the Group. The ranges will therefore vary
 
from period to period and parameter to parameter
 
based on characteristics of
the instruments held at each balance sheet date. Furthermore, the ranges of unobservable inputs may
 
differ across other
financial institutions, reflecting the diversity of the products
 
in each firm’s inventory.
 
 
 
 
 
 
 
 
 
 
 
 
 
Significant unobservable inputs in Level 3 positions
This section
 
discusses the
 
significant unobservable
 
inputs used
 
in the valuation
 
of Level 3
 
instruments and
 
assesses the
potential effect that
 
a change
 
in each
 
unobservable input in
 
isolation may
 
have on
 
a fair value
 
measurement. Relationships
between observable and unobservable inputs have not
 
been included in the summary below.
Input
Description
Bond price
equivalent
–
Where market prices are
 
not available for a
 
bond, fair value is
 
measured by comparison with observable pricing data
 
from
similar instruments. Factors considered when selecting comparable instruments include credit quality, maturity and industry
of the issuer. Fair value may be measured either by a direct price comparison or
 
by conversion of an instrument price into a
yield (either as an outright yield or as a spread
 
to the relevant benchmark rate).
 
–
For corporate and municipal bonds, the
 
range represents the range of prices
 
from reference issuances used in determining
fair value. Bonds priced
 
at 0 are distressed
 
to the point that
 
no recovery is
 
expected, while prices
 
significantly in excess
 
of 100
or
 
par relate
 
to inflation-linked
 
or structured
 
issuances that
 
pay a
 
coupon in
 
excess of
 
the market
 
benchmark as
 
of the
measurement date.
–
For credit derivatives, the bond price range
 
represents the range of prices used for
 
reference instruments, which are typically
converted to an equivalent yield or credit
 
spread as part of the valuation process.
Loan price
equivalent
–
Where market prices are
 
not available for a
 
traded loan or a
 
loan commitment, fair value is
 
measured by comparison with
observable pricing data for similar instruments. Factors considered when selecting comparable instruments include industry
segment,
 
collateral
 
quality,
 
maturity
 
and
 
issuer-specific
 
covenants.
 
Fair
 
value
 
may
 
be
 
measured either
 
by
 
a
 
direct
 
price
comparison or
 
by conversion
 
of an
 
instrument price
 
into a
 
yield. The
 
range represents
 
the range
 
of prices
 
derived from
reference issuances of a similar credit quality used to measure fair value for loans classified as Level 3. Loans priced at 0
 
are
distressed to the
 
point that no
 
recovery is expected,
 
while a current
 
price of
 
100 represents a
 
loan that is
 
expected to be
repaid in full.
Credit spread
–
Valuation models for many credit derivatives
 
and other credit sensitive products require
 
an input for the credit spread, which
is a reflection of the
 
credit quality of the
 
associated referenced underlying.
 
The credit spread of
 
a particular security is quoted
in relation
 
to the
 
yield on
 
a benchmark
 
security or
 
reference rate,
 
typically either
 
US Treasury
 
or ARR,
 
and is
 
generally expressed
in terms of
 
basis points.
 
An increase /
 
(decrease) in
 
credit spread will
 
increase /
 
(decrease) the value
 
of credit protection
 
offered
by credit default swaps
 
and other credit
 
derivative products. The
 
income statement effect
 
from such changes
 
depends on the
nature and direction
 
of the positions
 
held. Credit spreads
 
may be negative
 
where the asset
 
is more creditworthy
 
than the
benchmark against which the spread is calculated. A wider credit spread represents decreasing creditworthiness. The range
represents a diverse set of underlyings, with
 
the lower end of the
 
range representing credits of the highest quality and
 
the
upper end of the range representing greater
 
levels of credit risk.
Discount margin
–
The discount margin (DM) spread represents the discount rates applied to present
 
value cash flows of an asset to reflect the
market return required
 
for uncertainty in
 
the estimated cash
 
flows. DM spreads
 
are a rate
 
or rates applied
 
on top of
 
a floating
index (e.g., Secured Overnight Financing Rate
 
(SOFR)) to discount expected cash flows.
 
Generally, a decrease / (increase) in
the DM in isolation would result in a higher
 
/ (lower) fair value.
–
The high
 
end of
 
the range
 
relates to
 
securities that
 
are priced
 
low within
 
the market
 
relative to
 
the expected
 
cash flow
schedule. This indicates that the market is pricing
 
an increased risk of credit loss into the security
 
that is greater than what is
being captured by
 
the expected cash flow
 
generation process. The low
 
ends of the
 
ranges are typical
 
of funding rates
 
on
better-quality instruments.
Funding spread
–
Structured financing transactions
 
are valued using synthetic
 
funding curves that best
 
represent the assets that
 
are pledged as
collateral for the transactions.
 
They are not representative
 
of where UBS can fund
 
itself on an unsecured
 
basis but provide an
estimate of where UBS
 
can source and deploy
 
secured funding with counterparties
 
for a given type
 
of collateral. The funding
spreads are expressed in terms of basis points,
 
and if funding spreads widen, this increases the
 
effect of discounting.
 
–
A small proportion of structured debt instruments and non-structured fixed-rate bonds within financial liabilities designated
at fair value had an exposure to funding
 
spreads that was longer in duration than the
 
actively traded market.
Volatility
–
Volatility measures
 
the variability
 
of future prices
 
for a particular
 
instrument and
 
is generally expressed
 
as a percentage,
 
where
a higher number reflects a more volatile
 
instrument, for which future price
 
movements are more likely to occur.
 
Volatility is a
key input into
 
option models, where it
 
is used to derive
 
a probability-based distribution of future
 
prices for the underlying
instrument. The
 
effect
 
of
 
volatility on
 
individual positions
 
within
 
the portfolio
 
is driven
 
primarily by
 
whether the
 
option
contract is a long or short position. In most cases, the fair value of an
 
option increases as a result of an increase in volatility
and is reduced
 
by a decrease
 
in volatility. Generally, volatility used
 
in the measurement of
 
fair value is
 
derived from active-
market option prices (referred to as
 
implied volatility). A key feature of
 
implied volatility is the volatility “smile”
 
or “skew,”
which represents the effect of pricing options
 
of different option strikes at different implied
 
volatility levels.
–
Volatilities of low interest rates
 
tend to be much higher
 
than volatilities of high
 
interest rates. In addition,
 
different currencies
may have significantly different implied volatilities.
 
Recovery Rate
–
The projected recovery rate
 
reflects the estimated recovery that
 
will be realized given
 
expected defaults, it is
 
an analogous
pricing input for corporate or sovereign credits. Reduction in recovery rates will result in lower expected cash flows into the
structure upon the default of
 
the instruments. In general, a significant increase /
 
(decrease) in the recovery rate in
 
isolation
would result in significantly higher / (lower) fair value for the respective underlying cash security. The impact of a
 
change in
recovery rate on a credit derivative
 
position will depend on whether
 
credit protection has been
 
bought or sold. Recovery rate
is ultimately driven by the value recoverable from collateral held after default occurs relative to the outstanding exposure at
that point.
Gap risk
–
Gap risk
 
is a
 
risk of
 
unexpected large
 
declines in
 
the underlying
 
collateral values
 
occurring between
 
collateral settlement
dates. Gap
 
risk is
 
a significant
 
unobservable input
 
for structures
 
that exhibit
 
market risk
 
to significant
 
price moves
 
in the
reference asset, generally related to certain financing
 
or principal protection trade features. In
 
general, for assets / (liabilities)
with a significant unobservable
 
input of gap risk,
 
an increase in gap
 
risk in isolation would
 
decrease / (increase) the
 
fair value.
 
 
 
 
 
Input
Description
Correlation
–
Correlation measures the
 
interrelationship between
 
the movements of
 
two variables. It is
 
expressed as a percentage
 
between
 
–100%
 
and
 
+100%,
 
where
 
+100%
 
represents
 
perfectly
 
correlated
 
variables
 
(meaning
 
a
 
movement
 
of
 
one
 
variable
 
is
associated with a movement of the other variable in the same direction) and –100% implies that
 
the variables are inversely
correlated
 
(meaning
 
a
 
movement of
 
one
 
variable
 
is
 
associated
 
with
 
a
 
movement of
 
the
 
other
 
variable
 
in
 
the
 
opposite
direction). The effect of correlation
 
on the measurement of
 
fair value depends on the
 
specific terms of the instruments
 
being
valued, reflecting the range of different payoff
 
features within such instruments.
Equity dividend
yields
–
The derivation of a forward price
 
for an individual stock or index is
 
important for measuring fair value for forward or swap
contracts and for measuring fair
 
value using option pricing models.
 
The relationship between the
 
current stock price and the
forward price is based on a combination
 
of expected future dividend levels
 
and payment timings, and, to a lesser
 
extent, the
relevant funding
 
rates applicable
 
to the stock
 
in question.
 
Dividend yields
 
are generally
 
expressed as
 
an annualized
 
percentage
of the share price, with
 
the lowest limit of 0% representing a
 
stock that is not expected to
 
pay any dividend. The dividend
yield and timing represent
 
the most significant parameter in
 
determining fair value for instruments
 
that are sensitive to
 
an
equity forward price.
f) Level 3 instruments: sensitivity to changes in unobservable
 
input assumptions
The table below summarizes
 
those financial assets and
 
liabilities classified as Level
 
3 for which a
 
change in one or
 
more
of
 
the
 
unobservable
 
inputs
 
to
 
reflect
 
reasonably
 
possible
 
favorable
 
and
 
unfavorable
 
alternative
 
assumptions
 
would
change fair value significantly, and the estimated effect thereof. The table below does not represent the estimated effect
of stress
 
scenarios.
 
Interdependencies
 
between
 
Level 1,
 
2 and
 
3 parameters
 
have not
 
been
 
incorporated
 
in the
 
table.
Furthermore, direct
 
interrelationships between
 
the Level 3 parameters
 
discussed below
 
are not
 
a significant element
 
of
the valuation uncertainty.
Sensitivity data is estimated
 
using a number of techniques,
 
including the estimation
 
of price dispersion among
 
different
market participants, variation
 
in modeling approaches
 
and reasonably possible
 
changes to assumptions
 
used within the
fair value
 
measurement process.
 
The sensitivity
 
ranges are
 
not always
 
symmetrical around
 
the fair
 
values, as the
 
inputs
used in valuations are not always precisely in the middle
 
of the favorable and unfavorable range.
Sensitivity data
 
is determined at
 
a product or
 
parameter level
 
and then aggregated
 
assuming no diversification
 
benefit.
Diversification would
 
incorporate estimated
 
correlations across
 
different sensitivity
 
results and,
 
as such,
 
would result
 
in
an
 
overall
 
sensitivity
 
that
 
would
 
be
 
less
 
than
 
the
 
sum
 
of
 
the
 
individual
 
component
 
sensitivities.
 
However,
 
the
 
Group
believes that the diversification benefit is not significant to
 
this analysis.
The increase in
 
Traded loans sensitivity to
 
favorable and unfavorable changes
 
is due to
 
an increase in
 
Level 3 loan
 
balances
from Credit
 
Suisse including,
 
securitization warehouse
 
facilities, a
 
loan with
 
securitization collateral
 
and revolving
 
loan
facilities that are deemed unobservable.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Sensitivity of fair value measurements to changes
 
in unobservable input assumptions
1
31.12.23
31.12.22
USD m
Favorable
 
changes
Unfavorable
 
changes
Favorable
 
changes
Unfavorable
 
changes
Traded loans, loans measured at fair value and guarantees
635
2
(600)
2
19
(12)
Securities financing transactions
30
(32)
33
(37)
Auction rate securities
67
(21)
46
(46)
Asset-backed securities
39
(36)
27
(27)
Equity instruments
430
(413)
183
(161)
Investment fund units
135
(137)
19
(21)
Loan commitments measured at FVTPL
313
(343)
0
0
Interest rate derivatives, net
217
(103)
18
(12)
Credit derivatives, net
140
(131)
3
(4)
Foreign exchange derivatives, net
5
(4)
10
(5)
Equity / index derivatives, net
521
(443)
361
(330)
Other
281
(276)
20
(41)
Total
2,815
(2,538)
738
(696)
of which: Credit Suisse
3
2,034
(1,890)
1 Sensitivity of
 
issued and
 
over-the-counter debt
 
instruments is
 
reported with
 
the equivalent
 
derivative or
 
Other.
 
2 Sensitivity increased
 
due to
 
a traded
 
loan L3 balance
 
increase (see
 
note 21(c)) and
 
includes
refinements applied in estimating valuation uncertainty across various parameters.
 
3 Refer to Note 2 for more information about the acquisition of the Credit Suisse Group.
 
g) Level 3 instruments: movements during the period
The table
 
below presents additional information about
 
material Level 3 assets and
 
liabilities measured at fair
 
value on
 
a
recurring basis.
 
Level 3 assets
 
and liabilities
 
may be hedged
 
with instruments
 
classified as
 
Level 1 or Level
 
2 in the fair
 
value
hierarchy,
 
and, as
 
a result,
 
realized
 
and unrealized
 
gains and
 
losses included
 
in the
 
table may
 
not include
 
the effect
 
of related
hedging activity. Furthermore,
 
the realized and unrealized gains and losses presented in the table are not limited solely to
those arising
 
from Level 3 inputs,
 
as valuations
 
are generally
 
derived from
 
both observable
 
and unobservable
 
parameters.
As noted
 
above, Level 3
 
assets overall
 
increased following
 
the acquisition
 
of the
 
Credit Suisse
 
Group, mainly
 
reflecting
acquired
 
traded
 
loans
 
that
 
were
 
deemed
 
unobservable
 
and,
 
to
 
a
 
lesser
 
extent,
 
also
 
reflecting
 
the
 
aligning
 
UBS’s
accounting methodology for testing unobservable inputs.
Assets and liabilities
 
transferred into
 
or out of
 
Level 3 are
 
presented as if
 
those assets
 
or liabilities had
 
been transferred
at the beginning of the year.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Movements of Level 3 instruments
USD bn
Balance
at the
 
beginning
of the
period
Credit
Suisse
Level 3
assets and
liabilities
acquired
1
Net gains /
losses
included in
compre-
hensive
income
2
of which:
related to
instruments
held at the
end of the
period
Purchases
Sales
Issuances
Settlements
Transfers
 
into
 
Level 3
Transfers
 
out of
 
Level 3
Foreign
 
currency
 
translation
Balance
at the
end
of the
period
For the twelve months ended 31 December 2023
3
Financial assets at fair value held for
trading
1.5
26.2
(0.9)
(0.5)
1.1
(4.5)
3.6
(5.6)
2.3
(1.1)
0.0
22.6
of which: Equity instruments
0.1
0.4
(0.1)
(0.0)
0.1
(0.2)
0.0
0.0
0.2
(0.1)
0.0
0.3
of which: Corporate and municipal
bonds
0.5
1.1
(0.2)
(0.1)
0.6
(0.8)
0.0
0.0
0.1
(0.0)
0.0
1.3
of which: Loans
0.6
23.1
(0.7)
(0.4)
0.1
(2.7)
3.6
(5.6)
2.0
(0.8)
0.0
19.6
Derivative financial instruments –
assets
1.5
1.4
(0.2)
(0.1)
0.0
(0.0)
1.0
(0.8)
0.3
(0.7)
0.0
2.6
of which: Interest rate
0.5
0.2
(0.0)
(0.0)
0.0
0.0
0.2
(0.3)
0.1
(0.2)
(0.0)
0.4
of which: Equity / index
0.7
0.5
(0.1)
0.0
0.0
0.0
0.6
(0.2)
0.1
(0.3)
0.0
1.3
of which: Credit
0.3
0.2
(0.1)
(0.0)
0.0
0.0
0.1
(0.2)
0.1
(0.0)
0.0
0.5
Financial assets at fair value not held
for trading
3.7
4.2
0.2
0.1
2.1
(2.2)
0.0
(0.0)
0.8
(0.3)
0.1
8.4
of which: Loans
0.7
0.8
0.3
0.3
0.6
(0.4)
(0.0)
(0.0)
0.4
(0.2)
0.0
2.3
of which: Auction rate securities
1.3
0.0
0.0
0.0
0.0
(0.1)
0.0
0.0
0.0
0.0
0.0
1.2
of which: Equity instruments
0.8
2.1
(0.0)
(0.1)
0.5
(0.4)
0.0
(0.0)
0.1
0.0
0.1
3.1
Derivative financial instruments –
liabilities
1.7
4.5
(0.4)
0.1
0.0
(0.0)
2.0
(2.0)
0.4
(0.7)
0.0
5.6
of which: Interest rate
0.1
0.2
(0.0)
(0.0)
0.0
0.0
0.1
(0.1)
0.1
(0.2)
0.0
0.2
of which: Equity / index
1.2
1.7
0.2
0.6
(0.0)
(0.0)
1.2
(0.9)
0.2
(0.3)
0.0
3.3
of which: Credit
0.3
0.3
0.0
0.0
0.0
0.0
0.1
(0.1)
0.1
(0.1)
0.0
0.6
of which: Loan commitments
measured at FVTPL
0.0
2.0
(0.6)
(0.5)
0.0
0.0
0.1
(0.5)
0.0
(0.0)
0.0
1.0
Debt issued designated at fair value
10.5
8.5
1.0
0.8
0.0
0.0
3.7
(5.1)
1.0
(4.5)
0.0
15.3
Other financial liabilities designated at
fair value
0.7
2.1
(0.0)
0.0
0.0
0.0
0.2
(0.2)
0.0
(0.1)
0.0
2.6
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
For the twelve months ended 31 December 2022
Financial assets at fair value held for
trading
2.3
(0.3)
(0.3)
0.3
(1.8)
0.5
0.0
0.7
(0.3)
(0.0)
1.5
of which: Investment fund units
0.0
(0.0)
(0.0)
0.0
(0.0)
0.0
0.0
0.1
(0.0)
(0.0)
0.1
of which: Corporate and municipal
bonds
0.6
(0.0)
(0.0)
0.3
(0.6)
0.0
0.0
0.4
(0.0)
(0.0)
0.5
of which: Loans
1.4
(0.1)
(0.1)
0.0
(1.1)
0.5
0.0
0.0
(0.2)
0.0
0.6
Derivative financial instruments –
assets
1.1
0.6
0.3
0.0
0.0
0.4
(0.7)
0.1
(0.0)
(0.0)
1.5
of which: Interest rate
0.5
0.3
0.3
0.0
0.0
0.0
(0.2)
0.0
(0.1)
(0.0)
0.5
of which: Equity / index
0.4
0.2
0.1
0.0
0.0
0.4
(0.3)
0.1
(0.0)
(0.0)
0.7
of which: Credit
0.2
0.1
(0.1)
0.0
0.0
0.0
(0.2)
0.0
0.1
0.0
0.3
Financial assets at fair value not held
for trading
4.2
0.1
0.1
0.7
(1.2)
0.1
(0.0)
0.2
(0.3)
(0.0)
3.7
of which: Loans
0.9
(0.0)
(0.0)
0.4
(0.4)
0.1
0.0
0.1
(0.3)
(0.0)
0.7
of which: Auction rate securities
1.6
0.1
0.0
0.0
(0.3)
0.0
0.0
0.0
0.0
0.0
1.3
of which: Equity instruments
0.7
0.0
0.0
0.1
(0.1)
0.0
0.0
0.1
0.0
(0.0)
0.8
Derivative financial instruments –
liabilities
2.2
(0.8)
(0.4)
0.0
0.0
1.1
(0.9)
0.3
(0.2)
(0.1)
1.7
of which: Interest rate
0.3
(0.3)
(0.0)
0.0
0.0
0.1
(0.0)
0.0
(0.0)
(0.0)
0.1
of which: Equity / index
1.5
(0.4)
(0.3)
0.0
0.0
0.8
(0.7)
0.1
(0.2)
(0.0)
1.2
of which: Credit
0.3
(0.1)
(0.0)
0.0
0.0
0.1
(0.1)
0.1
(0.0)
(0.0)
0.3
Debt issued designated at fair value
14.2
(2.2)
(1.8)
0.0
0.0
4.7
(3.1)
0.7
(3.4)
(0.3)
10.5
Other financial liabilities designated at
fair value
0.8
(0.1)
(0.1)
0.0
0.0
0.0
(0.1)
0.0
(0.0)
(0.0)
0.7
1 Refer to Note 2
 
for more information about
 
the acquisition of the
 
Credit Suisse Group.
 
2 Net gains /
 
losses included in comprehensive
 
income are recognized in
 
Net interest income and
 
Other net income from
financial instruments measured at fair
 
value through profit or loss
 
in the Income statement, and
 
also in Gains / (losses)
 
from own credit on financial
 
liabilities designated at fair value,
 
before tax in the Statement
 
of
comprehensive income.
 
3 Total Level 3 assets as
 
of 31 December 2023 were USD
33.6
bn (31 December 2022: USD
6.8
bn). Total Level 3 liabilities as of
 
31 December 2023 were USD
23.6
bn (31 December 2022:
USD
13.0
bn).
 
h) Maximum exposure to credit risk for financial instruments
 
measured at fair value
The tables below
 
provide the
 
Group’s maximum exposure
 
to credit risk
 
for financial instruments
 
measured at
 
fair value
and
 
the
 
respective
 
collateral
 
and
 
other
 
credit
 
enhancements
 
mitigating
 
credit
 
risk
 
for
 
these
 
classes
 
of
 
financial
instruments.
 
The maximum exposure
 
to credit risk
 
includes the carrying
 
amounts of financial
 
instruments recognized on
 
the balance
sheet subject to credit risk
 
and the notional amounts for off-balance sheet
 
arrangements. Where information is available,
collateral is presented at fair
 
value. For other collateral, such as
 
real estate, a reasonable alternative
 
value is used. Credit
enhancements,
 
such
 
as
 
credit
 
derivative
 
contracts
 
and
 
guarantees,
 
are
 
included
 
at
 
their
 
notional
 
amounts.
 
Both
 
are
capped at
 
the maximum
 
exposure to
 
credit risk
 
for which
 
they serve
 
as security.
 
The “Risk
 
management
 
and control”
section of this
 
report describes
 
management’s view
 
of credit
 
risk and the
 
related exposures,
 
which can differ
 
in certain
respects from the requirements of IFRS Accounting Standards.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum exposure to credit risk
 
31.12.23
Maximum
exposure to
credit risk
Collateral
Credit enhancements
Exposure to
credit risk
after collateral
and credit
enhancements
USD bn
Cash
collateral
received
Collateralized
by equity and
debt
instruments
Secured by
real estate
Other
 
collateral
Netting
Credit
derivative
contracts
Guarantees
and sub-
participations
 
Financial assets measured at
 
fair value on the balance sheet
1
Financial assets at fair value
 
held for trading – debt instruments
2,3
54.6
54.6
Derivative financial instruments
4
176.1
6.4
156.4
13.3
Brokerage receivables
21.0
20.5
0.5
Financial assets at fair value not
 
held for trading – debt instruments
5
83.3
41.7
0.0
0.2
0.0
41.3
Total financial assets measured at fair value
335.0
0.0
68.6
0.0
0.0
156.6
0.0
0.0
109.8
of which: Credit Suisse
6
114.2
32.9
0.0
42.0
0.0
39.3
Guarantees
0.1
0.1
0.0
31.12.22
Maximum
exposure to
credit risk
Collateral
Credit enhancements
Exposure to
credit risk
after collateral
and credit
enhancements
USD bn
Cash
collateral
received
Collateralized
by equity and
debt
instruments
Secured by
real estate
Other
 
collateral
Netting
Credit
derivative
contracts
Guarantees
and sub-
participations
 
Financial assets measured at
 
fair value on the balance sheet
1
Financial assets at fair value
 
held for trading – debt instruments
2,3
16.5
 
16.5
Derivative financial instruments
4
150.1
5.9
133.5
10.7
Brokerage receivables
17.6
17.3
0.3
Financial assets at fair value not
 
held for trading – debt instruments
5
44.8
11.4
33.4
Total financial assets measured at fair value
229.0
0.0
34.6
0.0
0.0
133.5
0.0
0.0
61.0
Guarantees
0.2
0.2
0.0
1 The maximum exposure to
 
loss is generally equal to
 
the carrying amount and subject to
 
change over time with market
 
movements.
 
2 For the purpose of
 
this disclosure, collateral and
 
credit enhancements were
not considered as these positions are generally managed under the market risk framework.
 
3 Does not include investment fund units.
 
4 The amount shown in the “Netting” column represents the netting potential
not recognized
 
on the
 
balance sheet.
 
Refer to
 
Note 22 for
 
more information.
 
5 Does not
 
include unit-linked
 
investment contracts
 
and investment
 
fund units.
 
Financial assets
 
at fair
 
value not
 
held for
 
trading
collateralized by equity and debt instruments
 
consisted of structured loans and reverse
 
repurchase and securities borrowing agreements.
 
6 Refer to Note 2 for more information
 
about the acquisition of the
 
Credit
Suisse Group.
 
i) Financial instruments not measured at fair value
The table below provides the estimated fair values of financial
 
instruments not measured at fair value.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments not measured at fair value
31.12.23
31.12.22
Carrying
amount
Fair value
Carrying
amount
Fair value
USD bn
Total
Carrying
amount
approximates
fair value
1
Level 1
Level 2
Level 3
Total
Total
Carrying
amount
approximates
fair value
1
Level 1
Level 2
Level 3
Total
Assets
Cash and balances at central banks
314.1
314.0
0.0
0.1
0.0
314.1
169.4
169.4
0.1
0.0
0.0
169.4
Amounts due from banks
21.2
19.7
0.0
1.2
0.2
21.2
14.8
14.0
0.0
0.7
0.0
14.8
Receivables from securities financing
transactions measured at amortized cost
99.0
93.6
0.0
3.9
1.5
99.0
67.8
64.3
0.0
1.8
1.7
67.8
Cash collateral receivables on derivative
instruments
50.1
50.1
0.0
0.0
0.0
50.1
35.0
35.0
0.0
0.0
0.0
35.0
Loans and advances to customers
639.8
196.9
0.0
54.5
382.2
633.7
387.2
134.3
0.0
45.9
194.7
374.9
Other financial assets measured at amortized
cost
65.5
13.2
13.9
33.9
2.6
64.0
53.3
12.9
10.3
25.1
2.5
50.8
Liabilities
Amounts due to banks
71.0
62.7
0.0
8.3
0.0
71.0
11.6
8.9
0.0
2.7
0.0
11.6
Payables from securities financing
transactions measured at amortized cost
14.4
8.1
0.0
5.9
0.4
14.4
4.2
3.5
0.0
0.7
0.0
4.2
Cash collateral payables on derivative
instruments
41.6
41.5
0.0
0.0
0.0
41.5
36.4
36.4
0.0
0.0
0.0
36.4
Customer deposits
792.0
694.1
0.0
98.7
0.0
792.9
525.1
491.3
0.0
33.6
0.0
524.8
Debt issued measured at amortized cost
237.8
24.7
0.0
216.3
0.1
241.3
114.6
15.4
0.0
98.1
0.0
113.5
Other financial liabilities measured at
amortized cost
2
15.3
13.4
0.0
0.0
1.7
15.2
6.2
6.2
0.0
0.0
0.0
6.2
1 Includes certain financial instruments where the carrying
 
amount is a reasonable approximation of the
 
fair value due to the instruments’ short-term
 
nature (instruments that are receivable or
 
payable on demand or
with a remaining maturity (excluding the effects of callable features) of three months or less).
 
2 Excludes lease liabilities.
The fair values
 
included in the
 
table above have
 
been calculated for
 
disclosure purposes
 
only.
 
The valuation techniques
and assumptions described below relate
 
only to the fair value
 
of UBS’s financial instruments
 
not measured at fair
 
value.
Other institutions
 
may use
 
different
 
methods and
 
assumptions for
 
their fair
 
value estimations,
 
and therefore
 
such fair
value disclosures cannot necessarily be compared from one financial institution to another. The following principles were
applied when determining fair value estimates for financial
 
instruments not measured at fair value.
–
For financial
 
instruments
 
with remaining
 
maturities greater
 
than three
 
months, the
 
fair value
 
was determined
 
from
quoted market prices, if available.
–
Where quoted market prices were
 
not available, the fair values were estimated
 
by discounting contractual cash flows
using current
 
market
 
interest
 
rates
 
or appropriate
 
yield curves
 
for
 
instruments
 
with
 
similar credit
 
risk and
 
maturity.
These estimates generally include adjustments for counterparty
 
credit risk or UBS’s own credit.
–
For short-term financial instruments with
 
remaining maturities of three months
 
or less, the carrying amount, which
 
is
net of credit loss allowances, is generally considered a reasonable
 
estimate of fair value.