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MD&A - Risk management and control - Market Risk (Tables)
 12 Months Ended
Dec. 31, 2024
MDA Risk Management And Control Market Risk Tables [Line Items]  
Disclosure of detailed information about management value-at-risk [text block]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Management value-at-risk (1-day, 98% confidence level, 2 years of historical data) of certain legacy Credit
 
Suisse
components of the business divisions and Group Items, by general market risk type
1,2
For the year ended 31.12.24
USD m
Equity
Interest
rates
Credit
spreads
Foreign
exchange
Commodities
Min.
1
2
4
0
0
Max.
13
12
14
5
1
Average
5
6
9
1
0
31.12.24
1
2
4
1
0
Total management VaR
5
21
12
5
Average (per business division and risk type)
Global Wealth Management
1
3
2
1
1
0
1
0
0
Personal & Corporate Banking
0
0
0
0
0
0
0
0
0
Asset Management
0
0
0
0
0
0
0
0
0
Investment Bank
1
11
3
1
2
1
1
0
0
Non-core and Legacy
4
16
10
4
4
4
9
1
0
Group Items
0
0
0
0
0
0
0
0
0
Diversification effect
3,4
(3)
(1)
(2)
1
(2)
0
0
For the year ended 31.12.23
5
USD m
Equity
Interest
rates
Credit
spreads
Foreign
exchange
Commodities
Min.
9
10
13
0
0
Max.
17
40
34
5
3
Average
13
17
20
2
1
31.12.23
13
12
13
1
0
Total management VaR
20
46
29
21
Average (per business division and risk type)
Global Wealth Management
2
14
9
2
1
1
9
0
0
Personal & Corporate Banking
0
1
0
0
0
0
0
0
0
Asset Management
0
0
0
0
0
0
0
0
0
Investment Bank
8
15
11
11
10
1
3
1
1
Non-core and Legacy
15
33
20
16
8
13
17
2
0
Group Items
0
0
0
0
0
0
0
0
0
Diversification effect
3,4
(12)
(8)
(6)
1
(9)
(1)
0
1 The legacy Credit Suisse components not
 
included in the UBS Group management VaR
 
predominantly reflect the portfolio in Non-core and Legacy.
 
These positions continue to be managed on legacy
 
Credit Suisse
infrastructure based on legacy Credit Suisse management VaR methodology until full migration of these positions
 
to UBS infrastructure or the liquidation of the positions. This process is ongoing, and
 
the management
VaR of the legacy Credit Suisse components is
 
expected to continue decreasing over time.
 
2 Statistics at individual levels may not be
 
summed to deduce the corresponding aggregate figures. The minima and maxima
for each level
 
may occur on
 
different days, and,
 
likewise, the
 
VaR for
 
each business line
 
or risk type,
 
being driven by
 
the extreme loss
 
tail of the
 
corresponding distribution of
 
simulated profits and
 
losses for that
business line or risk type,
 
may well be driven by different
 
days in the historical time series,
 
rendering invalid the simple
 
summation of figures to arrive at
 
the aggregate total.
 
3 The difference between the
 
sum of
the standalone VaR
 
for the business
 
divisions and Group
 
Items and the
 
total VaR.
 
4 As the
 
minima and maxima for
 
different business divisions
 
and Group Items
 
occur on different
 
days, it is
 
not meaningful to
calculate a portfolio diversification
 
effect.
 
5 Divisional comparative-period
 
information has been restated
 
for changes in business
 
division perimeters. The
 
Investment Bank management VaR
 
consists of positions
that we plan to retain and which were previously reported in Non-core and Legacy.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Management value-at-risk (1-day, 95% confidence level, 5 years of historical data) of the business divisions and Group
Items excluding certain legacy Credit Suisse components, by general market risk type
1,2
For the year ended 31.12.24
USD m
Equity
Interest
rates
Credit
spreads
Foreign
exchange
Commodities
Min.
0
11
6
1
2
Max.
12
24
16
9
14
Average
4
16
9
4
4
31.12.24
1
20
10
3
4
Total management VaR
5
23
12
11
Average (per business division and risk type)
Global Wealth Management
1
2
2
1
0
1
2
0
0
Personal & Corporate Banking
0
0
0
0
0
0
0
0
0
Asset Management
0
0
0
0
0
0
0
0
0
Investment Bank
3
23
11
10
4
15
8
3
4
Non-core and Legacy
1
3
1
1
0
1
1
0
0
Group Items
4
12
5
6
1
4
3
1
0
Diversification effect
3,4
(6)
(8)
(1)
(5)
(4)
(1)
0
For the year ended 31.12.23
USD m
Equity
Interest
rates
Credit
spreads
Foreign
exchange
Commodities
Min.
3
9
3
1
1
Max.
19
21
19
10
10
Average
9
12
6
2
3
31.12.23
11
19
7
2
3
Total management VaR
7
25
15
19
Average (per business division and risk type)
Global Wealth Management
1
2
1
2
0
1
2
0
0
Personal & Corporate Banking
0
0
0
0
0
0
0
0
0
Asset Management
0
0
0
0
0
0
0
0
0
Investment Bank
5
23
14
18
9
12
5
2
3
Non-core and Legacy
1
2
1
1
0
1
1
0
0
Group Items
3
6
4
5
1
4
3
1
0
Diversification effect
3,4
(6)
(7)
(1)
(5)
(4)
(1)
0
1 The legacy Credit Suisse components not
 
included in the UBS Group management VaR
 
predominantly reflect the portfolio in Non-core and Legacy.
 
These positions continue to be managed on legacy
 
Credit Suisse
infrastructure based on legacy Credit Suisse management VaR methodology until full migration of these positions
 
to UBS infrastructure or the liquidation of the positions. This process is ongoing, and
 
the management
VaR of the legacy Credit Suisse components is
 
expected to continue decreasing over time.
 
2 Statistics at individual levels may not be
 
summed to deduce the corresponding aggregate figures. The minima and maxima
for each level
 
may occur on
 
different days, and,
 
likewise, the
 
VaR for
 
each business line
 
or risk type,
 
being driven by
 
the extreme loss
 
tail of the
 
corresponding distribution of
 
simulated profits and
 
losses for that
business line or risk type,
 
may well be driven by different
 
days in the historical time series,
 
rendering invalid the simple
 
summation of figures to arrive at
 
the aggregate total.
 
3 The difference between the
 
sum of
the standalone VaR
 
for the business
 
divisions and Group
 
Items and the
 
total VaR.
 
4 As the
 
minima and maxima for
 
different business divisions
 
and Group Items
 
occur on different
 
days, it is
 
not meaningful to
calculate a portfolio diversification effect.
Disclosure of interest rate sensitivity - banking book [text block]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate risk – banking book
31.12.24
USD m
Effect on EVE
1
 
– FINMA
Effect on EVE
1
 
– BCBS
Scenarios
CHF
EUR
GBP
USD
Other
Total
Additional tier 1 (AT1) capital
instruments
Total
+1 bp
(10.5)
(1.4)
(0.3)
(24.6)
(0.5)
(37.3)
5.5
(31.7)
Parallel up
2
(1,509.7)
(263.7)
(65.5)
(4,758.9)
(95.6)
(6,693.4)
1,000.4
(5,693.0)
Parallel down
2
1,643.9
295.9
76.2
5,068.6
101.1
7,185.8
(1,173.0)
6,012.8
Steepener
3
(749.1)
(10.4)
(12.7)
(1,255.4)
(9.7)
(2,037.3)
168.0
(1,869.3)
Flattener
4
464.0
(33.3)
(0.2)
161.0
(10.5)
581.0
61.0
642.1
Short-term up
5
(149.4)
(112.2)
(22.8)
(1,820.7)
(46.1)
(2,151.1)
484.4
(1,666.7)
Short-term down
6
132.6
112.2
23.3
1,931.8
46.6
2,246.5
(504.4)
1,742.2
31.12.23
USD m
Effect on EVE
1
 
– FINMA
Effect on EVE
1
 
– BCBS
Scenarios
CHF
EUR
GBP
USD
Other
Total
Additional tier 1 (AT1) capital
instruments
Total
+1 bp
(3.7)
(0.6)
0.1
(26.0)
0.2
(30.1)
4.9
(25.2)
Parallel up
2
(548.9)
(119.3)
16.2
(5,027.2)
(0.9)
(5,680.2)
904.6
(4,775.5)
Parallel down
2
561.8
124.3
(29.2)
5,216.0
2.8
5,875.7
(1,044.5)
4,831.3
Steepener
3
(305.3)
(13.1)
(11.9)
(1,037.0)
(33.8)
(1,401.1)
93.4
(1,307.6)
Flattener
4
189.6
(5.0)
14.0
(124.2)
30.8
105.2
109.6
214.8
Short-term up
5
(27.3)
(39.4)
19.4
(2,171.3)
23.9
(2,194.7)
486.3
(1,708.4)
Short-term down
6
26.5
41.8
(21.8)
2,312.1
(26.8)
2,331.9
(507.8)
1,824.1
1 Economic value
 
of equity.
 
2 Rates across
 
all tenors move
 
by ±150 bps
 
for Swiss franc,
 
±200 bps for
 
euro and US
 
dollar, and
 
±250 bps for
 
pound sterling.
 
3 Short-term rates
 
decrease and long-term
 
rates
increase.
 
4 Short-term rates increase and long-term rates decrease.
 
5 Short-term rates increase more than long-term rates.
 
6 Short-term rates decrease more than long-term rates.