UBS : Basel Pillar III Disclosure March 31 2024

	UBS Bank (Canada)
M5H 3Z4
	154 University Avenue
	Toronto, ON
	Telephone: [phone]
	www.ubs.com

Appendix-A

UBS Bank (Canada)

Basel Pillar III Disclosures

March 31, 2024

CCID Corporate Identifier: 89266472

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Overview

UBS Bank (Canada)

Pillar III Disclosures

March 31, 2024

UBS Bank (Canada) [the "Bank"] is a wholly owned subsidiary of UBS AG [the "Parent bank"] and is incorporated and licensed to operate as a bank in Canada with full banking powers under the Bank Act (Canada) as a foreign bank subsidiary. Its registered office is located at 154 University Avenue - Suite 800, Toronto, Ontario, Canada, M5H 3Z4.

Basis of preparation

The Office of the Superintendent of Financial Institutions ('OSFI') Pillar 3 Disclosure Guideline for Small and Medium Sized Deposit Taking Institutions (SMSBs) sets out the disclosure requirements for SMSBs operating under the Basel framework. The Pillar 3 disclosures are designed to complement the minimum capital requirements in Pillar 1 and the supervisory review process in Pillar 2. The aim of Pillar 3 is to promote market discipline by allowing market participants to access information on risk exposures and risk management policies and processes adopted by UBS Bank (Canada) ('the Bank').

This document represents the Basel III Pillar 3 disclosure requirements for Small and Medium-Sized Banks ("SMSBs") classified as a Category 2 SMSBs. The SMSB's reporting less than $10 billion in total assets are in Category 2 if they meet any of the following criteria:

1. report greater than $100 million in total loans
2. enter into interest rate or foreign exchange derivatives with a combined notional amount greater than 100% of total capital
3. have any other types of derivative exposure
4. have exposure to other off-balance sheet items greater than 100% of total capital

Based on the above criteria, the Bank has been placed in the segmentation Category 2 and the following disclosures are applicable. All quantitative disclosures are made in $ '000 CAD, unless otherwise indicated.

UBS Bank (Canada)

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Disclosures

UBS Bank (Canada)

Pillar III Disclosures

March 31, 2024

The Pillar 3 disclosure guideline for Category 2 SMSBs prescribes as follows:

(i) Quarterly disclosures:

Key Metrics (KM1); Composition of regulatory capital for SMSB (Modified CC1), and Leverage Ratio common disclosure template (LR2).

(ii) Annual disclosures:

Disclosures related to general information regarding credit risk (CRA), Liquidity Risk and general qualitative information on Bank's operational risk framework (ORA).

Additional information is available here:

OSFI's financial Data website: https://www.osfi-bsif.gc.ca/en/data-forms/financial-data/financial-data-banks.

Q1, 2024 disclosures along with Q4, 2023 comparatives are presented below:

UBS Bank (Canada)

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I. Quarterly Disclosures:

Table KM1: Key Metrics

UBS Bank (Canada)

Pillar III Disclosures

March 31, 2024

	Available capital (amounts)	Q1/2024	Q4/2023
1	Common Equity Tier 1 (CET1)	128,120	125,481
2	Tier 1	128,120	125,481
3	Total capital	128,125	125,486
	Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	363,415	317,965
4a	Total risk-weighted assets (pre-floor)	363,415	317,965
	Risk-based capital ratios as a percentage of RWA
5	CET1 ratio (%)	35.25	39.46
5a	CET1 ratio (%) (pre-floor ratio)	35.25	39.46
6	Tier 1 ratio (%)	35.25	39.46
6a	Tier 1 ratio (%) (pre-floor ratio)	35.25	39.46
7	Total capital ratio (%)	35.26	39.47
7a	Total capital ratio (%) (pre-floor ratio)	35.26	39.47
	Additional CET1 buffer requirements as a percentage of RWA
8	Capital conservation buffer requirement (2.5% from 2019) (%)	N/A	N/A
9	Countercyclical buffer requirement (%)	N/A	N/A
10	Bank G-SIB and/or D-SIB additional requirements (%) [Not applicable for SMSBs]
11	Total of bank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10)	N/A	N/A
12	CET1 available after meeting the bank's minimum capital requirements (%)	N/A	N/A
	Basel III Leverage ratio
13	Total Basel III leverage ratio exposure measure	1,039,527	1,123,969
14	Basel III leverage ratio (row 2 / row 13)	12.32	11.16

UBS Bank (Canada)

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UBS Bank (Canada)

Pillar III Disclosures

March 31, 2024

Table Modified CC1. Composition of Regulatory Capital for SMSB

		Q 1/2 0 2 4	Q 4 /2 0 2 3
		Amounts	Amounts
	Common Equity Tier 1 ca pital: instruments a nd rese rve s
1	Directly issued qualifying common share capital (and equivalent for non- joint stock companies) plus related stock	196,737	196,737
surplus
2	Retained earnings	- 69,200	- 71,839
3	Accumulated other comprehensive income (and other reserves)	583	583
4	Directly issued capital subject to phase out from CET1 (only applicable to Federal Credit Unions)	N/A	N/A
5	Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)	N/A	N/A
6	Common Equity Tie r 1 c apital before regulatory adjustme nts	128,120	125,481
	Common Equity Tier 1 ca pita l: regula tory adjustme nts
28	Total regulatory adjustme nts to Common Equity Tier 1	128,120	125,481
29	Common Equity Tie r 1 c apital (CET1)	128,120	125,481
	Additional Tie r 1 c apita l: instruments
30	Directly issued qualifying Additional Tier 1 instruments plus related stock surplus	N/A	N/A
31	of which: classified as equity under applicable accounting standards	N/A	N/A
32	of which: classified as liabilities under applicable accounting standards	N/A	N/A
33	Directly issued capital instruments subject to phase out from Additional Tier 1 (applicable only to Federal Credit	N/A	N/A
Unions)
34	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third	N/A	N/A
parties (amount allowed in group AT1)
35	of which: instruments issued by subsidiaries subject to phase out (applicable only to Federal Credit Unions)	N/A	N/A
36	Additional Tie r 1 c apita l before regula tory adjustme nts	N/A	N/A
	Additiona l Tier 1 ca pital: regula tory adjustme nts
43	Total regulatory adjustme nts to a dditional Tie r 1 c apita l	N/A	N/A
44	Additional Tie r 1 c apita l (AT1)	N/A	N/A
45	Tier 1 ca pital (T1 = CET1 + AT1)	128,120	125,481

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UBS Bank (Canada)

Pillar III Disclosures

March 31, 2024

		Q 1/ 2 0 2 4	Q 4 / 2 0 2 3
		Amounts	Amounts
	Tie r 2 c a pita l: instrume nts a nd provisions
46	Directly issued qualifying Tier 2 instruments plus related stock surplus	N/A	N/A
47	Directly issued capital instruments subject to phase out from Tier 2 (applicable only to Federal Credit Unions)	N/A	N/A
48	Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by	N/A	N/A
third parties (amount allowed in group Tier 2)
49	of which: instruments issued by subsidiaries subject to phase out (applicable only to Federal Credit Unions)	N/A	N/A
50	Collective allowances	5	5
51	Tie r 2 c a pita l be fore re gula tory adjustme nts	N/A	N/A
	Tie r 2 c a pital: re gula tory a djustme nts
57	Tota l re gula tory a djustme nts to Tier 2 c a pita l	5	5
58	Tie r 2 c a pita l (T2 )	5	5
59	Tota l c a pita l (TC = T1 + T2 )	128,125	125,481
60	Tota l risk- we ighted a sse ts	363,415	317,965
	Ca pital ra tios
61	Common Equity Tier 1 (as a percentage of risk- weighted assets)	35.25	39.46
62	Tier 1 (as a percentage of risk- weighted assets)	35.25	39.46
63	Total capital (as a percentage of risk- weighted assets)	35.26	39.47
	OS FI ta rge t
69	Common Equity Tier 1 target ratio	7	7
70	Tier 1 capital target ratio	8.5	8.5
71	Total capital target ratio	10.5	10.5
	Ca pita l instrume nts subje c t to pha se - out a rrange ments (For Fede ra l Cre dit Unions only)
80	Current cap on CET1 instruments subject to phase- out arrangements	N/A	N/A
81	Amount excluded from CET1 capital due to cap (excess over cap after redemptions and maturities)	N/A	N/A
82	Current cap on AT1 instruments subject to phase- out arrangements	N/A	N/A
83	Amount excluded from AT1 capital due to cap (excess over cap after redemptions and maturities)	N/A	N/A
84	Current cap on Tier 2 instruments subject to phase- out arrangements	N/A	N/A
85	Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions and maturities)	N/A	N/A

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Table LR2: Leverage Ratio common disclosure template

UBS Bank (Canada)

Pillar III Disclosures

March 31, 2024

		Q1/2024	Q4/2023
	On- balance sheet exposures
1	On- balance sheet items (excluding derivatives, SFTs and grandfathered securitization exposures but	924,541	1,014,972
including collateral)
2	Gross- up for derivatives collateral provided where deducted from balance sheet assets pursuant to the	6,106	8,684
operative accounting framework (IFRS)
3	(Deductions of receivable assets for cash variation margin provided in derivatives transactions)	N/A	N/A
4	(Asset amounts deducted in determining Tier 1 capital)	N/A	N/A
5	Total on- balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 to	918,435	1,006,288
4 )
	Derivative exposures
6	Replacement cost associated with all derivative transactions	6,106	8,683
7	Add- on amounts for potential future exposure associated with all derivative transactions	30,776	23,849
8	(Exempted central counterparty- leg of client cleared trade exposures)	N/A	N/A
9	Adjusted effective notional amount of written credit derivatives	N/A	N/A
10	(Adjusted effective notional offsets and add- on deductions for written credit derivatives)	N/A	N/A
11	Total derivative exposures (sum of lines 6 to 10) multiplied by 140%	51,633	45,545
	Securities financing transaction exposures
12	Gross SFT assets recognised for accounting purposes (with no recognition of netting), after adjusting for	N/A	N/A
sale accounting transactions
13	(Netted amounts of cash payables and cash receivables of gross SFT assets)	N/A	N/A
14	Counterparty credit risk (CCR) exposure for SFTs	N/A	N/A
15	Agent transaction exposures	N/A	N/A
16	Total securities financing transaction exposures (sum of lines 12 to 15)	N/A	N/A
	Other off- balance sheet exposures
17	Off- balance sheet exposure at gross notional amount	69,459	72,136
18	(Adjustments for conversion to credit equivalent amounts)	N/A	N/A
19	Off- balance sheet items (sum of lines 17 and 18)	69,459	72,136
	Capital and total exposures
20	Tier 1 capital	128,120	125,481
21	Total Exposures (sum of lines 5, 11, 16 and 19)	1,039,527	1,123,969
	Leverage ratio
22	Basel III leverage ratio	12.32	11.16

UBS Bank (Canada)

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