Risk register · entry
Q4 · Where models dieCredit Suisse / UBS
A 167-year-old G-SIB failed on confidence; AT1 bonds zeroed before equity.
The world stops matching the model. Regime change and leverage turn a small error fatal.
Why this room
The payoff structure was contractually simple and fully modeled, an AT1 write-to-zero on a defined viability trigger, but the actual loss was driven by tail, non-linear behaviour, a depositor run and a single shareholder's offhand comment, that no capital model priced, and the resolution outcome inverted the very hierarchy the instrument was built to enforce.
The record
- CHF 16 billion / $17.2 billion of AT1 bonds written to zerocertain
- UBS paid CHF 3 billion / $3.2 billion in stock for Credit Suissecertain
- Equity holders received about $3.25 billion despite being junior to AT1 in the normal hierarchylikely
- CHF 67 billion in Q1 2023 deposit outflows; CHF 171.2 billion net withdrawals Oct 2022 to Apr 2023likely
- SNB emergency liquidity line of CHF 50 billion announced March 16, 2023certain
- Deal announced March 19, 2023; completed June 12, 2023certain
- Roughly $9 billion in AT1-related legal claims pending as of October 2023likely
- Swiss Federal Administrative Court ruled the AT1 writedown unlawful, October 2025; FINMA appealingcertain
- Job loss estimates ranging from 9,500-12,000 to as high as 30,000 combined positionsuncertain
- UBS posted near $30 billion Q2 2023 profit largely from negative goodwill on the deallikely
Sources
The book
This entry is one of 111 in the register. The full story, and what it cost the people who lived it, is in Risky Business by Claudia Zeisberger, David Munro and Joanna Reijgersberg-Siew.
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